Tail And Nontail Memory With Applications To Extreme Value And Robust Statistics
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 27 (2011)
Issue (Month): 04 (August)
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- Tim Bollerslev & Viktor Todorov, 2010.
"Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns,"
CREATES Research Papers
2010-64, School of Economics and Management, University of Aarhus.
- Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013. "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, vol. 172(2), pages 307-324.
- Hill, Jonathan B. & Shneyerov, Artyom, 2013. "Are there common values in first-price auctions? A tail-index nonparametric test," Journal of Econometrics, Elsevier, vol. 174(2), pages 144-164.
- Ilić, Ivana, 2012. "On tail index estimation using a sample with missing observations," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 949-958.
- Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
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