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Fast convergence rates in estimating large volatility matrices using high-frequency financial data
Tao, Minjing; Wang, Yazhen; Chen, Xiaohong - In: Econometric theory 29 (2013) 4, pp. 838-856
Persistent link: https://www.econbiz.de/10010210158
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A new characterization of the normal distribution and test for normality
Bera, Anil K.; Galvao, Antonio Fialho <Jr.>; Wang, Liang; … - In: Econometric theory 32 (2016) 5, pp. 1216-1252
Persistent link: https://www.econbiz.de/10011661739
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Change point tests for the tail index of β-mixing random variables
Hoga, Yannick - In: Econometric theory 33 (2017) 4, pp. 915-954
Persistent link: https://www.econbiz.de/10011810218
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Characterization of the tail behavior of a class of BEKK processes : a stochastic recurrence equation approach
Matsui, Muneya; Pedersen, Rasmus Søndergaard - In: Econometric theory 38 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013166113
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Asymptotics of spectral density estimates
Liu, Weidong; Wu, Wei Biao - In: Econometric theory 26 (2010) 4, pp. 1218-1245
Persistent link: https://www.econbiz.de/10003993835
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Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
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Time series regression on integrated continuous-time processes with heavy and light tails
Fasen, Vicky Maria - In: Econometric theory 29 (2013) 1, pp. 28-67
Persistent link: https://www.econbiz.de/10009747888
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Integrated conditional moment tests for parametric conditional distributions
Bierens, Herman J.; Wang, Li - In: Econometric theory 28 (2012) 2, pp. 328-362
Persistent link: https://www.econbiz.de/10009520945
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Asymptotic theory for spectral density estimates of general multivariate time series
Wu, Wei Biao; Zaffaroni, Paolo - In: Econometric theory 34 (2018) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011950919
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Identification of joint distributions in dependent factor models
Ben-Moshe, Dan - In: Econometric theory 34 (2018) 1, pp. 134-165
Persistent link: https://www.econbiz.de/10011950930