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 estimation and inference for heavy tailed GARCH. (English) Zbl 1319.62192 Bernoulli 21, No. 3, 1629-1669 (2015). MSC: 62M10 62F10 62F35 PDFBibTeX XMLCite \textit{J. B. Hill}, Bernoulli 21, No. 3, 1629--1669 (2015; Zbl 1319.62192) Full Text: DOI arXiv Euclid
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
Aguilar, Mike; Hill, Jonathan B. Robust score and portmanteau tests of volatility spillover. (English) Zbl 1332.62294 J. Econom. 184, No. 1, 37-61 (2015). MSC: 62M07 62M10 62G35 91G70 PDFBibTeX XMLCite \textit{M. Aguilar} and \textit{J. B. Hill}, J. Econom. 184, No. 1, 37--61 (2015; Zbl 1332.62294) 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. Least tail-trimmed squares for infinite variance autoregressions. (English) Zbl 1273.62064 J. Time Ser. Anal. 34, No. 2, 168-186 (2013). MSC: 62F35 62M10 62P05 PDFBibTeX XMLCite \textit{J. B. Hill}, J. Time Ser. Anal. 34, No. 2, 168--186 (2013; Zbl 1273.62064) Full Text: DOI