Whittle parameter estimation for vector ARMA models with heavy-tailed noises

Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data

(2019) Shiqing Ling et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Inference in heavy-tailed vector error correction models

(2019) Rui She et al.   JOURNAL OF ECONOMETRICS

Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series

(2016) Richard A. Davis et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

An empirical likelihood approach for symmetric $\alpha$-stable processes

(2015) Fumiya Akashi et al.   BERNOULLI

ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES

(2014) Rongmao Zhang et al.   ECONOMETRIC THEORY

Model identification for infinite variance autoregressive processes

(2012) Beth Andrews et al.   JOURNAL OF ECONOMETRICS

Heavy tails of OLS

(2012) Thomas Mikosch et al.   JOURNAL OF ECONOMETRICS

On robust tail index estimation for linear long-memory processes

(2012) Jan Beran et al.   JOURNAL OF TIME SERIES ANALYSIS

The tail empirical process for long memory stochastic volatility sequences

(2010) Rafał Kulik et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Maximum likelihood estimation for α -stable autoregressive processes

(2009) Beth Andrews et al.   ANNALS OF STATISTICS