Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application
Year of publication: |
2004-11-18
|
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Authors: | Hill, Jonathan B. |
Institutions: | EconWPA |
Subject: | extremal dependence | white-noise | volatility spillover | near-epoch-dependence | regular variation | infinite variance | portmanteau test | exchange rates |
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