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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
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2
Scaling Limits for Cumulative Input Processes
Mikosch, Thomas
;
Samorodnitsky, Gennady
- In:
Mathematics of operations research
32
(
2007
)
4
,
pp. 890-918
Persistent link: https://www.econbiz.de/10007879801
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3
Heavy tails of OLS
Mikosch, Thomas
;
de Vries, Casper G.
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 205-221
Persistent link: https://www.econbiz.de/10010063349
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4
Nonstationarities in Financial Time Series, the Long-range Dependence, and the IGARCH Effects
Mikosch, Thomas
;
Starica, Catalin
- In:
The review of economics and statistics
86
(
2004
)
1
,
pp. 378-390
Persistent link: https://www.econbiz.de/10006366362
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5
How to model multivariate extremes if one must?
Mikosch, Thomas
- In:
Statistica Neerlandica : journal of the Netherlands …
59
(
2005
)
3
,
pp. 324-338
Persistent link: https://www.econbiz.de/10006424998
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6
Prediction of outstanding payments in a Poisson cluster model
Jessen, Anders Hedegaard
;
Mikosch, Thomas
; …
- In:
Scandinavian actuarial journal : Actuarial Society of …
2011
(
2011
)
3
,
pp. 214-238
Persistent link: https://www.econbiz.de/10009330030
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7
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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8
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
Saved in:
9
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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