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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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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
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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
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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
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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