Statistical inference in regression with heavy-tailed integrated variables
DOI10.1016/S0895-7177(01)00123-6zbMATH Open1003.62070OpenAlexW2078973619MaRDI QIDQ1600535FDOQ1600535
Svetlozar T. Rachev, Stefan Mittnik, V. 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) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (9)
- Maximum likelihood estimators in regression models with infinite variance innovations
- COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”
- MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS
- 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
- 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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