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Maximum likelihood estimation for MA (1) processes with a root on or near the unit circle

Davis, Richard A. - In: Econometric theory 12 (1996) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10001201819

Time series estimation of the dynamic effects of disaster-type shocks

Davis, Richard A.; Ng, Serena - In: Journal of econometrics 235 (2023) 1, pp. 180-201

Persistent link: https://www.econbiz.de/10014434389

Inference for regression models with errors from a non-invertible MA(1) process

Chen, Mei-ching; Davis, Richard A.; Song, Li - In: Journal of forecasting 30 (2011) 1, pp. 6-30

Persistent link: https://www.econbiz.de/10009233924

Model indentification for infinite variance autoregressive processes

Andrews, Beth; Davis, Richard A. - In: Journal of econometrics 172 (2013) 2, pp. 222-234

Persistent link: https://www.econbiz.de/10009706207

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

Estimation for non-negative Lévy-driven CARMA processes

Brockwell, Peter J.; Davis, Richard A.; Yang, Yu - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 2, pp. 250-259

Persistent link: https://www.econbiz.de/10009160004

Structural break estimation for nonstationary time series models

Davis, Richard A.; Lee, Thomas C. M.; Rodriguez-Yam, … - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 223-239

Persistent link: https://www.econbiz.de/10003309659

On consistency of minimum description length model selection for piecewise autoregressions

Davis, Richard A.; Hancock, Stacey A.; Yao, Yi-Ching - In: Journal of econometrics 194 (2016) 2, pp. 360-368

Persistent link: https://www.econbiz.de/10011705206

Towards Estimating Extremal Serial Dependence Via the Bootstrapped Extremogram

Davis, Richard A. - 2013

Davis and Mikosch (2009a) introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard statistical properties of the sample extremogram. A major difficulty was the construction of credible...

Persistent link: https://www.econbiz.de/10013081613

Inference on the tail process with application to financial time series modeling

Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525

Persistent link: https://www.econbiz.de/10012110330