Iliyan Georgiev

University of Bologna

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Bootstrapping Non-Stationary Stochastic Volatility

Tinbergen Institute Discussion Paper 2019-083/III
Number of pages: 38 Posted: 17 Dec 2019
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Bologna and University of Copenhagen - Department of Statistics and Operations Research
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Abstract:

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Bootstrap, Non-stationary stochastic volatility, Random limit measures, Weak convergence in Distribution

2.

Unit Root Tests and Heavy‐Tailed Innovations

Journal of Time Series Analysis, Vol. 38, Issue 5, pp. 733-768, 2017
Number of pages: 36 Posted: 21 Aug 2017
University of Bologna, Banco de Portugal and University of Essex
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Abstract:

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Infinite variance, ‐stable distribution, Eicker–White standard errors, asymptotic local power functions