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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
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RANK-BASED ESTIMATION FOR GARCH PROCESSES
Andrews, Beth - In: Econometric theory 28 (2012) 5, pp. 1037-1065
Persistent link: https://www.econbiz.de/10010028017
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Theory and Methods - Structural Break Estimation for Nonstationary Time Series Models
Davis, Richard A.; Lee, Thomas C.M.; Rodriguez-Yam, … - In: Journal of the American Statistical Association : JASA 101 (2006) 473, pp. 223-239
Persistent link: https://www.econbiz.de/10006604422
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Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle
Davis, Richard A.; Dunsmuir, William T.M. - In: Econometric theory 12 (1996) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10007001135
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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