Volatility regressions with fat tails (Q2227065): Difference between revisions

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-.1016/j.jeconom.2020.04.034
@@ Property / DOI: 10.1016/j.jeconom.2020.04.034 / rank @@
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+The Distribution of Realized Exchange Rate Volatility
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+Modeling and Forecasting Realized Volatility
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+Generalized autoregressive conditional heteroscedasticity
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+Maximum and minimum of one-dimensional diffusions
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+The sample autocorrelations of heavy-tailed processes with applications to ARCH
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
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+A simple general approach to inference about the tail of a distribution
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+ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
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+Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
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+GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
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+On tail index estimation using dependent data
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+Asymptotic properties of realized power variations and related functionals of semimartingales
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+Microstructure noise in the continuous case: the pre-averaging approach
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+Quarticity and other functionals of volatility: efficient estimation
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+Asymptotics for recurrent diffusions with application to high frequency regression
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+RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
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+Weak limit theorems for stochastic integrals and stochastic differential equations
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+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
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+ARMA representation of integrated and realized variances
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+Temporal aggregation of volatility models
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
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+ARCH models as diffusion approximations
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+Nonlinear instrumental variable estimation of an autoregression.
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+Consistency of Hill's estimator for dependent data
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+Tail index estimation for dependent data
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+CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS  TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
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+Smoothing Bias in Density Derivative Estimation
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+Donsker theorems for diffusions: necessary and sufficient conditions
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+A Tale of Two Time Scales
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@@ Property / DOI @@
+.1016/J.JECONOM.2020.04.034
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