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Tail and nontail memory with applications to extreme value and robust statistics
Hill, Jonathan B. - In: Econometric theory 27 (2011) 4, pp. 844-884
Persistent link: https://www.econbiz.de/10009311730
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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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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