Statistical inference in regression with heavy-tailed integrated variables
DOI10.1016/S0895-7177(01)00123-6zbMATH Open1003.62070OpenAlexW2078973619MaRDI QIDQ1600535FDOQ1600535
Authors: Stefan Mittnik, V. Paulauskas, Svetlozar T. Rachev 
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
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Cited In (12)
- Bimodal \(t\)-ratios: the impact of thick tails on inference
- Maximum likelihood estimators in regression models with infinite variance innovations
- Time series regression on integrated continuous-time processes with heavy and light tails
- Tail dependence of OLS
- MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS
- Inference in heavy-tailed vector error correction models
- Comment on ``Weak convergence to a matrix stochastic integral with stable processes
- A Note on Unit Root Tests with Infinite Variance Noise
- Neuro-dynamic trading methods
- Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
- Inference for extremal regression with dependent heavy-tailed data
- Heavy tails of OLS
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