Narrow search
Showing 1 - 8 of 8
Cover Image
Towards estimating extremal serial dependence via the bootstrapped extremogram
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor - In: Journal of econometrics 170 (2012) 1, pp. 142-152
Persistent link: https://www.econbiz.de/10009673126
Cover Image
Noncausal vector AR processes with application to economic time series
Davis, Richard A.; Li, Song - In: Journal of econometrics 216 (2020) 1, pp. 246-267
Persistent link: https://www.econbiz.de/10012439692
Cover Image
Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
Cover Image
On consistency of minimum description length model selection for piecewise autoregressions
Davis, Richard A.; Hancock, Stacey A.; Yao, Yi-Ching - In: Journal of econometrics 194 (2016) 2, pp. 360-368
Persistent link: https://www.econbiz.de/10011705206
Cover Image
Goodness-of-fit testing for time series models via distance covariance
Wan, Phyllis; Davis, Richard A. - In: Journal of econometrics 227 (2022) 1, pp. 4-24
Persistent link: https://www.econbiz.de/10013441619
Cover Image
Time series estimation of the dynamic effects of disaster-type shocks
Davis, Richard A.; Ng, Serena - In: Journal of econometrics 235 (2023) 1, pp. 180-201
Persistent link: https://www.econbiz.de/10014434389
Cover Image
Model identification for infinite variance autoregressive processes
Andrews, Beth; Davis, Richard A. - In: Journal of econometrics 172 (2013) 2, pp. 222-234
Persistent link: https://www.econbiz.de/10010063350
Cover Image
Towards estimating extremal serial dependence via the bootstrapped extremogram
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor - In: Journal of econometrics 170 (2012) 1, pp. 142-153
Persistent link: https://www.econbiz.de/10009996208