Pages that link to "Item:Q4933584"

The following pages link to ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (Q4933584):

Displaying 43 items.

• A continuous updating weighted least squares estimator of tail dependence in high dimensions (Q125412) (← links)
• Testing for (in)finite moments (Q138542) (← links)
• On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
• Tail index estimation in the presence of long-memory dynamics (Q425381) (← links)
• On tail index estimation using a sample with missing observations (Q433581) (← links)
• Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
• On the measurement and treatment of extremes in time series (Q508717) (← links)
• Moment condition tests for heavy tailed time series (Q528143) (← links)
• Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
• Consistent estimation of the tail index for dependent data (Q613172) (← links)
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
• Tail index estimation, concentration and adaptivity (Q902214) (← links)
• On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation (Q1011549) (← links)
• On tail index estimation using dependent data (Q1178953) (← links)
• Asymmetry in tail dependence in equity portfolios (Q1659125) (← links)
• Simple tail index estimation for dependent and heterogeneous data with missing values (Q1729814) (← links)
• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models (Q1762973) (← links)
• A new approach on estimation of the tail index (Q1854706) (← links)
• Inference on heavy tails from dependent data (Q1876387) (← links)
• Hill's estimator for the tail index of an ARMA model (Q1877836) (← links)
• Volatility regressions with fat tails (Q2227065) (← links)
• Are there common values in first-price auctions? A tail-index nonparametric test (Q2439866) (← links)
• Robust estimation and inference for heavy tailed GARCH (Q2515512) (← links)
• Estimating the tail-dependence coefficient: properties and pitfalls (Q2567090) (← links)
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
• Tail index estimation based on survey data (Q2786467) (← links)
• On tail index estimation based on multivariate data (Q2811273) (← links)
• Least tail-trimmed squares for infinite variance autoregressions (Q2852489) (← links)
• (Q3405573) (← links)
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses (Q3631443) (← links)
• Test for the existence of finite moments via bootstrap (Q4634442) (← links)
• Consistency of the Hill Estimator for Time Series Observed with Measurement Errors (Q5111854) (← links)
• (Q5173034) (← links)
• TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
• MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (Q5205276) (← links)
• ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE (Q5403110) (← links)
• Size distributions reconsidered (Q5860954) (← links)
• Where does the tail begin? An approach based on scoring rules (Q5860997) (← links)
• Volatility models for stylized facts of high‐frequency financial data (Q6135344) (← links)
• On Mixture Double Autoregressive Time Series Models (Q6616614) (← links)
• Exponential-Type GARCH Models With Linear-in-Variance Risk Premium (Q6617781) (← links)
• Semiparametric Tail Index Regression (Q6620834) (← links)
• On uniform confidence intervals for the tail index and the extreme quantile (Q6664639) (← links)