Tail dependence of OLS

DOI10.1017/S0266466621000311MaRDI QIDQ5071685zbMATH OpenOpenAlexFDO

Authors Jochem Oorschot, Chen Zhou

Publication date 22 April 2022

Published in Econometric Theory (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1017/s0266466621000311

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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• Infinite density at the median and the typical shape of stock return distributions
• ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS
• Regular variation of GARCH processes.
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• The emperor's new clothes: a critique of the multivariate t regression model
• The Mean Values of Certain Dirichlet Series, II

Cited in

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• Heavy tails of OLS

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