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Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
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Moment condition tests for heavy tailed time series
Hill, Jonathan B.; Aguilar, Mike - In: Journal of econometrics 172 (2013) 2, pp. 255-274
Persistent link: https://www.econbiz.de/10009706204
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Testing for granger causality with mixed frequency data
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - 2013
Persistent link: https://www.econbiz.de/10010193401
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A max-correlation white noise test for weakly dependent time series
Hill, Jonathan B.; Motegi, Kaiji - In: Econometric theory 36 (2020) 5, pp. 907-960
Persistent link: https://www.econbiz.de/10012307244
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Parameter estimation robust to low-frequency contamination
McCloskey, Adam; Hill, Jonathan B. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 598-610
Persistent link: https://www.econbiz.de/10011893837
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Testing for Granger causality with mixed frequency data
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - In: Journal of econometrics 192 (2016) 1, pp. 207-230
Persistent link: https://www.econbiz.de/10011617146