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Moment condition tests for heavy tailed time series
16 references·0 citing·38 second hop
Moment condition tests for heavy tailed time series (2012)Moment condition tests for heavy tailed t…Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)Inference in Arch and Garch M…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A test for volatility spillover with application to exchange rates (2001)A test for volatility spillov…Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Limit theory for the sample a…Modelling Extremal Events (1997)Modelling Extremal EventsInference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…A test for independence based on the correlation dimension (1996)A test for independence based…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…No news is good news (1992)No news is good newsSimulation and the Asymptotics of Optimization Estimators (1989)Simulation and the Asymptotic…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…On Some Simple Estimates of an Exponent of Regular Variation (1982)On Some Simple Estimates of a…Specification Tests in Econometrics (1978)Specification Tests in Econom…The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Brownian Motion and Stochastic Calculus (2007)Top Incomes in the Long Run of History (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Testing Linearity Against Smooth Transition Autoregressive Models (1988)A nonlinear approach to US GNP (1995)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)The Use of Error Components Models in Combining Cross Section with Time Series Data (1969)The Use of Variance Components Models in Pooling Cross Section and Time Series Data (1971)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Coherent Measures of Risk (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Maximum-Likelihood Estimation (2017)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Aggregate Confusion: The Divergence of ESG Ratings (2019)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Extreme Correlation of International Equity Markets (2001)A long memory property of stock market returns and a new model (1993)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1978Specification Tests in Econometrics19,451 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1994Modelling of extremal events in insurance and finance3,574 cited
  • 1996A test for independence based on the correlation dimension3,573 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1992No news is good news1,929 cited
  • 1989Simulation and the Asymptotics of Optimization Estimators1,496 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited
  • 2000Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process414 cited

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2003
Inference in Arch and Garch Models with Heavy-Tailed Errors
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