Statistical inference in regression with heavy-tailed integrated variables
From MaRDI portal
Publication:1600535
DOI10.1016/S0895-7177(01)00123-6zbMath1003.62070OpenAlexW2078973619MaRDI QIDQ1600535
Svetlozar T. Rachev, Stefan Mittnik, Vygantas Paulauskas
Publication date: 13 June 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00123-6
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
Related Items
A Note on Unit Root Tests with Infinite Variance Noise, Neuro-dynamic trading methods, TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS, COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”, MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS, Maximum likelihood estimators in regression models with infinite variance innovations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Durbin-Watson ratio under infinite-variance errors
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Statistical analysis of cointegration vectors
- Forecasting and testing in co-integrated systems
- Weak limit theorems for stochastic integrals and stochastic differential equations
- A bivariate stable characterization and domains of attraction
- Cointegrated processes with infinite variance innovations
- Tests for cointegration with infinite variance errors
- Statistical inference in vector autoregressions with possibly integrated processes
- Martingales and Stochastic Integrals
- Optimal Inference in Cointegrated Systems
- Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances
- Multiple Time Series Regression with Integrated Processes
- Testing for Common Trends
- Canonical Cointegrating Regressions
- Autoregressive processes with infinite variance
- Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Econometric Model Determination
- Operator-Stable Probability Distributions on Vector Groups
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
