Statistical inference in regression with heavy-tailed integrated variables
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Recommendations
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Cites work
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 1301874 (Why is no real title available?)
- scientific article; zbMATH DE number 3215022 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3025555 (Why is no real title available?)
- A bivariate stable characterization and domains of attraction
- Autoregressive processes with infinite variance
- Canonical Cointegrating Regressions
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Cointegrated processes with infinite variance innovations
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances
- Econometric Model Determination
- Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Forecasting and testing in co-integrated systems
- Martingales and Stochastic Integrals
- Multiple Time Series Regression with Integrated Processes
- Operator-Stable Probability Distributions on Vector Groups
- Optimal Inference in Cointegrated Systems
- Statistical analysis of cointegration vectors
- Statistical inference in vector autoregressions with possibly integrated processes
- Testing for Common Trends
- Tests for cointegration with infinite variance errors
- The Durbin-Watson ratio under infinite-variance errors
- Weak limit theorems for stochastic integrals and stochastic differential equations
Cited in
(12)- Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
- Inference for extremal regression with dependent heavy-tailed data
- 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
- Heavy tails of OLS
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