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GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference

Hill, Jonathan B.; Prokhorov, Artem - 2013

We construct a Generalized Empirical Likelihood estimator for a GARCH(1,1) model with a possibly heavy tailed error. The estimator imbeds tail-trimmed estimating equations allowing for over-identifying conditions, asymptotic normality, efficiency and empirical likelihood based confidence regions...

Persistent link: https://www.econbiz.de/10014176854

On tail index estimation for dependent, heterogeneous data

Hill, Jonathan B. - In: Econometric theory 26 (2010) 5, pp. 1398-1436

Persistent link: https://www.econbiz.de/10008662664

Stochastically weighted average conditional moment tests of functional form

Hill, Jonathan B. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 121-139

Persistent link: https://www.econbiz.de/10009739664

Consistent GMM residuals-based tests of functional form

Hill, Jonathan B. - In: Econometric reviews 32 (2013) 1/4, pp. 361-383

Persistent link: https://www.econbiz.de/10009717788

Consistent and non-degenerate model specification tests against smooth transition and neural network alternatives

Hill, Jonathan B. - In: Annales d'économie et de statistique 90 (2008), pp. 145-179

Persistent link: https://www.econbiz.de/10003910527

Expected shortfall estimation and Gaussian inference for infinite variance time series

Hill, Jonathan B. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10010519664

Tail and nontail memory with applications to extreme value and robust statistics

Hill, Jonathan B. - In: Econometric theory 27 (2011) 4, pp. 844-884

Persistent link: https://www.econbiz.de/10009311730

Moment condition tests for heavy tailed time series

Hill, Jonathan B.; Aguilar, Mike - In: Journal of econometrics 172 (2013) 2, pp. 255-274

Persistent link: https://www.econbiz.de/10009706204

Parameter estimation robust to low-frequency contamination

McCloskey, Adam; Hill, Jonathan B. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 598-610

Persistent link: https://www.econbiz.de/10011893837

Testing for Granger causality with mixed frequency data

Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - In: Journal of econometrics 192 (2016) 1, pp. 207-230

Persistent link: https://www.econbiz.de/10011617146

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