Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
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Publication:736554
DOI10.1016/J.JECONOM.2010.03.005zbMATH Open1431.62376OpenAlexW1982135604MaRDI QIDQ736554FDOQ736554
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.005
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
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