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Inference for local autocorrelations in locally stationary models

Zhao, Zhibiao - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 296-306

Persistent link: https://www.econbiz.de/10011390046

Nonparametric inference of discretely sampled stable Lévy processes

Zhao, Zhibiao; Wu, Wei Biao - In: Journal of econometrics 153 (2009) 1, pp. 83-92

Persistent link: https://www.econbiz.de/10003892656

Inference on the quantile regression process

Koenker, Roger; Xiao, Zhijie - 2000

Persistent link: https://www.econbiz.de/10001500704

Inference on the quantile regression process

Koenker, Roger; Xiao, Zhijie - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 4, pp. 1583-1612

Persistent link: https://www.econbiz.de/10001688095

Unit root quantile autoregression inference

Koenker, Roger; Xiao, Zhijie - In: Journal of the American Statistical Association : JASA 99 (2004) 467, pp. 775-787

Persistent link: https://www.econbiz.de/10002242185

Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance

Linton, Oliver - 2011

We study estimation and inference of Expected Shortfall (ES) for time series with Infinite variance. The rate of convergence is determined by the tail thickness parameter and the limiting distribution is in the stable class with parameters depending on the tail thickness parameter of the time...

Persistent link: https://www.econbiz.de/10013118819