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Functional Weak Limit Theory for Rare Outlying Events

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  • Iliyan GEORGIEV

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  • Iliyan GEORGIEV, 2002. "Functional Weak Limit Theory for Rare Outlying Events," Economics Working Papers ECO2002/22, European University Institute.
    • Handle: RePEc:eui:euiwps:eco2002/22
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    Cited by:

    1. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
    2. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
    3. Gary Biglaiser & Ching-to Albert Ma, 2007. "Moonlighting: public service and private practice," RAND Journal of Economics, RAND Corporation, vol. 38(4), pages 1113-1133, December.
    4. Rasmus T. Varneskov & Pierre Perron, 2018. "Combining long memory and level shifts in modelling and forecasting the volatility of asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 371-393, March.
    5. YAMAMOTO, Yohei & 山本, 庸平, 2015. "Asymptotic Inference for Common Factor Models in the Presence of Jumps," Discussion Papers 2015-05, Graduate School of Economics, Hitotsubashi University.
    6. Pierre Perron & Yohei Yamamoto, 2016. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
    7. Perron, Pierre & Qu, Zhongjun, 2010. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 275-290.
    8. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
    9. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
    10. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics.

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