TOC: J Econometrics
Introduction
Journal of Econometrics, 172(2)
Latest developments on heavy-tailed distributions
–Marc Paolella, Eric Renault, Gennady Samorodnitsky, David Veredas [] []
Linear and nonlinear regression with stable errors
–John P. Nolan, Diana Ojeda-Revah [] []
One-step R-estimation in linear models with stable errors
–Marc Hallin, Yvik Swan, Thomas Verdebout, David Veredas [] []
Heavy tails of OLS
–Thomas Mikosch, Casper G. de Vries [] []
Model identification for infinite variance autoregressive processes
–Beth Andrews, Richard A. Davis [] []
The method of simulated quantiles
–Yves Dominicy, David Veredas [] []
Estimation for multivariate stable distributions with generalized empirical likelihood
–Hiroaki Ogata [] []
Moment condition tests for heavy tailed time series
–Jonathan B. Hill, Mike Aguilar [] []
Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
–J. Huston McCulloch, E. Richard Percy [] []
Fat tails, VaR and subadditivity
–Jón Daníelsson, Bjørn N. Jorgensen, Gennady Samorodnitsky, Mandira Sarma, Casper G. de Vries [] []
Stable mixture GARCH models
–Simon A. Broda, Markus Haas, Jochen Krause, Marc S. Paolella, Sven C. Steude [] []
Jump tails, extreme dependencies, and the distribution of stock returns
–Tim Bollerslev, Viktor Todorov, Sophia Zhengzi Li [] []
Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration
–Vicky Fasen [] []
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