TOC: J Econometrics
Introduction
Journal of Econometrics, 181(1)
Editors’ introduction: Heavy tails and stable Paretian distributions in econometrics
–Jean-Marie Dufour, Jeong-Ryeol Kurz-Kim []
Exact confidence sets and goodness-of-fit methods for stable distributions
–Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf [] []
On the properties of the coefficient of determination in regression models with infinite variance variables
–Jeong-Ryeol Kurz-Kim, Mico Loretan [] []
On the robustness of location estimators in models of firm growth under heavy-tailedness
–Rustam Ibragimov [] []
The asymptotic codifference and covariation of log-fractional stable noise
–Joshua B. Levy, Murad S. Taqqu [] []
Extreme-quantile tracking for financial time series
–V. Chavez-Demoulin, P. Embrechts, S. Sardy [] []
Exponential stock models driven by tempered stable processes
–Uwe Küchler, Stefan Tappe [] []