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Cites work
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- Bank Runs, Deposit Insurance, and Liquidity
- Limit theory for bilinear processes with heavy-tailed noise
- Limit theory for multivariate sample extremes
- Linear and nonlinear regression with stable errors
- Model identification for infinite variance autoregressive processes
- On Interchanging Limits and Integrals
- Point processes, regular variation and weak convergence
- Regular variation of GARCH processes.
- Tail Behavior of Regression Estimators and their Breakdown Points
- Tail behavior of the least-squares estimator
- The supremum of a negative drift random walk with dependent heavy-tailed steps.
- Time series: theory and methods.
Cited in
(8)- Whittle parameter estimation for vector ARMA models with heavy-tailed noises
- Rank -1/2: a simple way to improve the OLS estimation of tail exponents
- Tail dependence of OLS
- Robust inference in AR-G/GARCH models under model uncertainty
- Tail behavior of the least-squares estimator
- Time series estimation of the dynamic effects of disaster-type shocks
- GTL regression: a linear model with skewed and thick-tailed disturbances
- Tail behavior and OLS estimation in AR-GARCH models
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