Tail And Nontail Memory With Applications To Extreme Value And Robust Statistics
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- Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
- Hill, Jonathan B. & Prokhorov, Artem, 2016.
"GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference,"
Journal of Econometrics,
Elsevier, vol. 190(1), pages 18-45.
- Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
- 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.
- Tim Bollerslev & Viktor Todorov, 2010. "Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns," CREATES Research Papers 2010-64, Department of Economics and Business Economics, Aarhus University.
- repec:bla:istatr:v:85:y:2017:i:1:p:108-142 is not listed on IDEAS
- 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.
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