Similar Search Results

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

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

Testing for granger causality with mixed frequency data

Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - 2013

Persistent link: https://www.econbiz.de/10010193401

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

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

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

The risk and return of commercial real estate : a property level analysis

Peng, Liang - In: Real estate economics : journal of the American Real … 44 (2016) 3, pp. 555-583

Persistent link: https://www.econbiz.de/10011616611

Empirical likelihood methods for an AR(1) process with ARCH(1) errors

Klüppelberg, Claudia (contributor); Peng, Liang (contributor) - 2006

For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval...

Persistent link: https://www.econbiz.de/10003310084

Toward a unified interval estimation of autoregressions

Chan, Ngai Hang; Li, Deyuan; Peng, Liang - In: Econometric theory 28 (2012) 3, pp. 705-717

Persistent link: https://www.econbiz.de/10009545785

Tail index of an AR(1) model with ARCH(1) errors

Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940

Persistent link: https://www.econbiz.de/10010248321