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Robust score and portmanteau tests of volatility spillover
Aguilar, Mike; Hill, Jonathan B. - In: Journal of econometrics 184 (2015) 1, pp. 37-61
Persistent link: https://www.econbiz.de/10011326820
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Tail dependence measure for examining financial extreme co-movements
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; … - In: Journal of econometrics 194 (2016) 2, pp. 330-348
Persistent link: https://www.econbiz.de/10011705189
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On the robustness of location estimators in models of firm growth under heavy-tailedness
Ibragimov, Rustam Ju. - In: Journal of econometrics 181 (2014) 1, pp. 25-33
Persistent link: https://www.econbiz.de/10010473439
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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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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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Moment restriction-based econometric methods
Kunitomo, Naoto (contributor) - 2011
Persistent link: https://www.econbiz.de/10009374508
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Moment restriction-based econometric methods : an overview
Kunitomo, Naoto; McAleer, Michael; Nishiyama, Yoshihiko - In: Journal of econometrics 165 (2011) 1, pp. 1-4
Persistent link: https://www.econbiz.de/10009374510
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Robust firm pricing with panel data
Handel, Benjamin R.; Misra, Kanishka; Roberts, James W. - In: Journal of econometrics 174 (2013) 2, pp. 165-185
Persistent link: https://www.econbiz.de/10009751233
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Optimal forecasts in the presence of structural breaks
Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail - In: Journal of econometrics 177 (2013) 2, pp. 134-152
Persistent link: https://www.econbiz.de/10010254881
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Cross-sectional dependence robust block bootstrap panel unit root tests
Palm, Franz C.; Smeekes, Stephan; Urbain, Jean-Pierre - In: Journal of econometrics 163 (2011) 1, pp. 85-104
Persistent link: https://www.econbiz.de/10009270441