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ArticleMoment condition tests for heavy tailed time series

Jonathan B. Hill2012

Article2012

Moment condition tests for heavy tailed time series

Jonathan B. Hill · Mike Aguilar

18 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Statistical Methods and Inference Advanced Statistical Methods and Models

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References

1986Generalized autoregressive conditional heteroskedasticity 1978Specification Tests in Econometrics 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1997Modelling Extremal Events 1993Measuring and Testing the Impact of News on Volatility 1994Modelling of extremal events in insurance and finance 1996A test for independence based on the correlation dimension 1987Extreme Values, Regular Variation and Point Processes

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Year2012

Typearticle

Published2012-08-23

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2012.08.013

openalex_workW3122837894

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