Pages that link to "Item:Q4933584"
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The following pages link to ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (Q4933584):
Displayed 24 items.
- Testing for (in)finite moments (Q138542) (← links)
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← 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)
- Asymmetry in tail dependence in equity portfolios (Q1659125) (← links)
- Simple tail index estimation for dependent and heterogeneous data with missing values (Q1729814) (← 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)
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
- On tail index estimation based on multivariate data (Q2811273) (← links)
- Least tail-trimmed squares for infinite variance autoregressions (Q2852489) (← links)
- Test for the existence of finite moments via bootstrap (Q4634442) (← 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)