TAIL DEPENDENCE OF OLS

DOI10.1017/S0266466621000311zbMath1493.62618OpenAlexW3131577276MaRDI QIDQ5071685

Jochem Oorschot, Chen Zhou

Publication date: 22 April 2022

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466621000311

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heavy tails of OLS
• Regular variation of GARCH processes.
• Tail Behavior of Regression Estimators and their Breakdown Points
• The emperor's new clothes: a critique of the multivariate t regression model
• Infinite Density at the Median and the Typical Shape of Stock Return Distributions
• Heavy-Tail Phenomena
• ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS
• The Mean Values of Certain Dirichlet Series, II

This page was built for publication: TAIL DEPENDENCE OF OLS