are based on forecasts covariance matrix little is known about effects of outliers on the uncertainty associated with …

literature, this estimator is consistent, asymptotically normal and very stable across partitions of the sample. Further, we show … in an extensive simulation study that this estimator outperforms in finite samples the logs, blocks and runs estimation … methods. Finally, we apply this new estimator to test for clustering of extremes in monthly time series of unemployment growth …

statistics using linear regressions or decomposition approaches. In this paper, I introduce three Stata commands to facilitate … the use of RIFs in the analysis of outcome distributions: rifvar() is an egen extension used to create RIFs for a large …

time-varying covariance matrix of the multivariate Student's <I>t</I> distribution. The key novelty of our proposed model …