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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
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Estimation of stable distributions by indirect inference
Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-337
Persistent link: https://www.econbiz.de/10009242117
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Posterior distribution of nondifferentiable functions
Kitagawa, Toru; Olea, José Luis Montiel; Payne, Jonathan; … - In: Journal of econometrics 217 (2020) 1, pp. 161-175
Persistent link: https://www.econbiz.de/10012482743
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Estimating stable latent factor models by indirect inference
Calzolari, Giorgio; Halbleib, Roxana - In: Journal of econometrics 205 (2018) 1, pp. 280-301
Persistent link: https://www.econbiz.de/10012110265
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LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
Zhang, Xingfa; Zhang, Rongmao; Li, Yuan; Ling, Shiqing - In: Journal of econometrics 227 (2022) 1, pp. 228-240
Persistent link: https://www.econbiz.de/10013441651
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Estimation and inference about tail features with tail censored data
Wang, Yulong; Xiao, Zhijie - In: Journal of econometrics 230 (2022) 2, pp. 363-387
Persistent link: https://www.econbiz.de/10013463894
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GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
Hill, Jonathan B.; Prokhorov, Artem - In: Journal of econometrics 190 (2016) 1, pp. 18-45
Persistent link: https://www.econbiz.de/10011591613
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Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
McCulloch, J. Huston; Percy, E. Richard - In: Journal of econometrics 172 (2013) 2, pp. 275-282
Persistent link: https://www.econbiz.de/10009706203
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A unified approach to validating univariate and multivariate conditional distribution models in time series
Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 178 (2014) 1, pp. 22-44
Persistent link: https://www.econbiz.de/10010254990
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Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
Chen, Min; Zhu, Ke - In: Journal of econometrics 189 (2015) 2, pp. 313-320
Persistent link: https://www.econbiz.de/10011504541