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University of North Carolina (UNC) at Chapel Hill – Department of Economics
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Granger causality test, Local asymptotic power, Mixed Data Sampling (MIDAS), Temporal aggregation, Vector autoregression (VAR)
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9655.
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Granger causality, mixed data sampling (MIDAS), temporal aggression, vector autoregression (VAR)
M-estimation, heavy tails, nonlinear AR-GARCH, tail trimming, robust inference
volatility spillover, heavy tails, tail trimming, robust inference
Granger causality test, max test, Mixed Data Sampling (MIDAS), Sims test, temporal aggregation
tail index estimation, regression residuals, GARCH filter, weak dependence
Expected Shortfall, heavy tails, robust estimation, bias correction
moment condition test, heavy tails, tail trimming, robust inference
consistent test; conditional moment test; nonlinear model; GMM
p-value test, empirical process test, nuisance parameter, weighted average power, GARCH test, omitted nonlinearity test
conditional moment test, tail trimming, heavy tails
GEL, GARCH, tail trimming, heavy tails, robust inference, efficient moment estimation
Empirical Likelihood, autoregression, tail trimming, tail estimation
dependent wild bootstrap, maximum correlation test, randomized block size, serial correlation, weak form efficiency, white noise test
frequency domain estimation, robust estimation, spurious persistence, level shifts, structural change, deterministic trends, ARMA, stochastic volatility, GARCH
dependent wild bootstrap, maximum correlation, near epoch dependence, white noise test.
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: JTSA.
Empirical likelihood method, random coefficient autoregression, weighted estimation
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