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Journal of econometrics
Stochastic Processes and their Applications
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Econometrics
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Working paper / Laboratory of Actuarial Mathematics, University of Copenhagen
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Handbook of financial time series
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The review of economics and statistics
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Applications of mathematics : stochastic modeling and applied probality ; stochastic mechanics, random media, signal processing and image synthesis, mathematical economics, stochastic optimization and finance stochastic control
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Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
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Insurance: Mathematics and Economics
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Journal of empirical finance
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Scandinavian actuarial journal : Actuarial Society of Finland ; Norwegian Society of Actuaries ; Swedish Society of Actuaries
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Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere
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Statistica Neerlandica
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Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research
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The European journal of finance
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Heavy tails of OLS
Mikosch, Thomas
;
de Vries, Casper G.
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 205-221
Persistent link: https://www.econbiz.de/10010063349
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2
Towards estimating extremal serial dependence via the bootstrapped extremogram
Davis, Richard A.
;
Mikosch, Thomas
;
Cribben, Ivor
- In:
Journal of econometrics
170
(
2012
)
1
,
pp. 142-153
Persistent link: https://www.econbiz.de/10009996208
Saved in:
3
Heavy tails of OLS
Mikosch, Thomas
;
Vries, Casper G. de
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 205-221
Persistent link: https://www.econbiz.de/10009706208
Saved in:
4
Towards estimating extremal serial dependence via the bootstrapped extremogram
Davis, Richard A.
;
Mikosch, Thomas
;
Cribben, Ivor
- In:
Journal of econometrics
170
(
2012
)
1
,
pp. 142-152
Persistent link: https://www.econbiz.de/10009673126
Saved in:
5
Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe
;
Mikosch, Thomas
;
Rahbek, Anders
; …
- In:
Journal of econometrics
238
(
2024
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
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