Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji Testing for Granger causality with mixed frequency data. (English) Zbl 1419.62229 J. Econom. 192, No. 1, 207-230 (2016). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{E. Ghysels} et al., J. Econom. 192, No. 1, 207--230 (2016; Zbl 1419.62229) Full Text: DOI
Hill, Jonathan B.; Prokhorov, Artem GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. (English) Zbl 1419.62231 J. Econom. 190, No. 1, 18-45 (2016). MSC: 62M10 62G05 62E20 62P05 PDFBibTeX XMLCite \textit{J. B. Hill} and \textit{A. Prokhorov}, J. Econom. 190, No. 1, 18--45 (2016; Zbl 1419.62231) Full Text: DOI Link
Hill, Jonathan B. Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors. (English) Zbl 1307.62054 J. Multivariate Anal. 135, 131-152 (2015). MSC: 62M10 62G35 PDFBibTeX XMLCite \textit{J. B. Hill}, J. Multivariate Anal. 135, 131--152 (2015; Zbl 1307.62054) Full Text: DOI
Hill, Jonathan B. Consistent GMM residuals-based tests of functional form. (English) Zbl 1491.62220 Econom. Rev. 32, No. 3, 361-383 (2013). MSC: 62P20 62M10 62G10 62E20 PDFBibTeX XMLCite \textit{J. B. Hill}, Econom. Rev. 32, No. 3, 361--383 (2013; Zbl 1491.62220) Full Text: DOI
Hill, Jonathan B.; Aguilar, Mike Moment condition tests for heavy tailed time series. (English) Zbl 1443.62266 J. Econom. 172, No. 2, 255-274 (2013). MSC: 62M10 62E20 62P20 PDFBibTeX XMLCite \textit{J. B. Hill} and \textit{M. Aguilar}, J. Econom. 172, No. 2, 255--274 (2013; Zbl 1443.62266) Full Text: DOI Link Link
Hill, Jonathan B. Tail and nontail memory with applications to extreme value and robust statistics. (English) Zbl 1401.62156 Econom. Theory 27, No. 4, 844-884 (2011). MSC: 62M10 60F05 60G10 60G70 62G32 62G35 62P05 PDFBibTeX XMLCite \textit{J. B. Hill}, Econom. Theory 27, No. 4, 844--884 (2011; Zbl 1401.62156) Full Text: DOI
Hill, Jonathan B. Extremal memory of stochastic volatility with an application to tail shape inference. (English) Zbl 1209.62245 J. Stat. Plann. Inference 141, No. 2, 663-676 (2011). MSC: 62P05 62G32 PDFBibTeX XMLCite \textit{J. B. Hill}, J. Stat. Plann. Inference 141, No. 2, 663--676 (2011; Zbl 1209.62245) Full Text: DOI DOI