Edit Profile (opens in new tab) Hill, Jonathan B. Co-Author Distance Author ID: hill.jonathan-b Published as: Hill, Jonathan B. Documents Indexed: 27 Publications since 2001, including 4 Additional arXiv Preprints Co-Authors: 4 Co-Authors with 6 Joint Publications 62 Co-Co-Authors all top 5 Co-Authors 16 single-authored 3 Motegi, Kaiji 2 Aguilar, Mike 2 Ghysels, Eric 2 Peng, Liang 1 Davey, Blair 1 Hill, Paul D. 1 Li, Deyuan 1 Mayboroda, Svitlana 1 Shneyerov, Artyom A. 1 Ullery, William all top 5 Serials 6 Journal of Econometrics 3 Journal of Statistical Planning and Inference 3 Econometric Theory 2 Journal of Time Series Analysis 2 Statistica Sinica 1 Bulletin of the Australian Mathematical Society 1 The Canadian Journal of Statistics 1 Journal of Multivariate Analysis 1 Econometric Reviews 1 Publicacions Matemàtiques 1 Bernoulli 1 Studies in Nonlinear Dynamics and Econometrics all top 5 Fields 22 Statistics (62-XX) 4 Probability theory and stochastic processes (60-XX) 2 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 Combinatorics (05-XX) 1 Group theory and generalizations (20-XX) 1 Partial differential equations (35-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 21 Publications have been cited 129 times in 73 Documents Cited by ▼ Year ▼ On tail index estimation for dependent, heterogeneous data. Zbl 1198.62042 Hill, Jonathan B. 23 2010 Fundamental matrices and Green matrices for non-homogeneous elliptic systems. Zbl 1400.35098 Davey, Blair; Hill, Jonathan; Mayboroda, Svitlana 18 2018 On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation. Zbl 1159.60321 Hill, Jonathan B. 14 2009 Testing for Granger causality with mixed frequency data. Zbl 1419.62229 Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji 13 2016 Robust estimation and inference for heavy tailed GARCH. Zbl 1319.62192 Hill, Jonathan B. 12 2015 Least tail-trimmed squares for infinite variance autoregressions. Zbl 1273.62064 Hill, Jonathan B. 11 2013 Tail and nontail memory with applications to extreme value and robust statistics. Zbl 1401.62156 Hill, Jonathan B. 10 2011 Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187 Hill, Jonathan; Peng, Liang 9 2014 Extremal memory of stochastic volatility with an application to tail shape inference. Zbl 1209.62245 Hill, Jonathan B. 9 2011 Moment condition tests for heavy tailed time series. Zbl 1443.62266 Hill, Jonathan B.; Aguilar, Mike 7 2013 GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. Zbl 1419.62231 Hill, Jonathan B.; Prokhorov, Artem 6 2016 Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232 Hill, Jonathan; Li, Deyuan; Peng, Liang 6 2016 Tail index estimation for a filtered dependent time series. Zbl 06503813 Hill, Jonathan B. 5 2015 Robust score and portmanteau tests of volatility spillover. Zbl 1332.62294 Aguilar, Mike; Hill, Jonathan B. 5 2015 Are there common values in first-price auctions? A tail-index nonparametric test. Zbl 1283.91151 Hill, Jonathan B.; Shneyerov, Artyom 5 2013 Strong orthogonal decompositions and nonlinear impulse response functions for infinite-variance processes. Zbl 1109.60033 Hill, Jonathan B. 2 2006 Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors. Zbl 1307.62054 Hill, Jonathan B. 2 2015 Consistent GMM residuals-based tests of functional form. Zbl 1491.62220 Hill, Jonathan B. 2 2013 A max-correlation white noise test for weakly dependent time series. Zbl 1462.62534 Hill, Jonathan B.; Motegi, Kaiji 1 2020 Stochastically weighted average conditional moment tests of functional form. Zbl 1506.62509 Hill, Jonathan B. 1 2013 Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality. Zbl 1464.62384 Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji 1 2020 A max-correlation white noise test for weakly dependent time series. Zbl 1462.62534 Hill, Jonathan B.; Motegi, Kaiji 1 2020 Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality. Zbl 1464.62384 Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji 1 2020 Fundamental matrices and Green matrices for non-homogeneous elliptic systems. Zbl 1400.35098 Davey, Blair; Hill, Jonathan; Mayboroda, Svitlana 18 2018 Testing for Granger causality with mixed frequency data. Zbl 1419.62229 Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji 13 2016 GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. Zbl 1419.62231 Hill, Jonathan B.; Prokhorov, Artem 6 2016 Uniform interval estimation for an AR(1) process with AR errors. Zbl 1419.62232 Hill, Jonathan; Li, Deyuan; Peng, Liang 6 2016 Robust estimation and inference for heavy tailed GARCH. Zbl 1319.62192 Hill, Jonathan B. 12 2015 Tail index estimation for a filtered dependent time series. Zbl 06503813 Hill, Jonathan B. 5 2015 Robust score and portmanteau tests of volatility spillover. Zbl 1332.62294 Aguilar, Mike; Hill, Jonathan B. 5 2015 Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors. Zbl 1307.62054 Hill, Jonathan B. 2 2015 Unified interval estimation for random coefficient autoregressive models. Zbl 1302.62187 Hill, Jonathan; Peng, Liang 9 2014 Least tail-trimmed squares for infinite variance autoregressions. Zbl 1273.62064 Hill, Jonathan B. 11 2013 Moment condition tests for heavy tailed time series. Zbl 1443.62266 Hill, Jonathan B.; Aguilar, Mike 7 2013 Are there common values in first-price auctions? A tail-index nonparametric test. Zbl 1283.91151 Hill, Jonathan B.; Shneyerov, Artyom 5 2013 Consistent GMM residuals-based tests of functional form. Zbl 1491.62220 Hill, Jonathan B. 2 2013 Stochastically weighted average conditional moment tests of functional form. Zbl 1506.62509 Hill, Jonathan B. 1 2013 Tail and nontail memory with applications to extreme value and robust statistics. Zbl 1401.62156 Hill, Jonathan B. 10 2011 Extremal memory of stochastic volatility with an application to tail shape inference. Zbl 1209.62245 Hill, Jonathan B. 9 2011 On tail index estimation for dependent, heterogeneous data. Zbl 1198.62042 Hill, Jonathan B. 23 2010 On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation. Zbl 1159.60321 Hill, Jonathan B. 14 2009 Strong orthogonal decompositions and nonlinear impulse response functions for infinite-variance processes. Zbl 1109.60033 Hill, Jonathan B. 2 2006 all cited Publications top 5 cited Publications all top 5 Cited by 117 Authors 14 Hill, Jonathan B. 5 Hecq, Alain W. 4 Hoga, Yannick 3 Götz, Thomas B. 3 Mikosch, Thomas 3 Motegi, Kaiji 2 Aguilar, Mike 2 Dominicy, Yves 2 Ghysels, Eric 2 Ilić, Ivana D. 2 Ilmonen, Pauliina 2 Shneyerov, Artyom A. 2 Stupfler, Gilles 1 Anderson, Brian David Outram 1 Arslan, Olcay 1 Asai, Manabu 1 Bai, Shuyang 1 Bollerslev, Tim 1 Brito, Margarida 1 Camponovo, Lorenzo 1 Carnero, M. Angeles 1 Cavaliere, Giuseppe 1 Cheng, Raymond 1 Choi, Jieun 1 Clémençon, Stéphan 1 Crosato, Lisa 1 Cui, Yunwei 1 Davis, Richard A. 1 Deistler, Manfred 1 del Barrio Castro, Tomas 1 Dematteo, Antoine 1 Dergiades, Theologos 1 Dufour, Jean-Marie 1 Dung, Le Viet 1 Freitas, Ana Cristina Moreira 1 Fries, Sébastien 1 Gao, Yuxuan 1 Georgiev, Iliyan 1 Girard, Stéphane 1 Grossi, Luigi 1 Gu, Changgui 1 Güney, Yeşim 1 Harris, Charles B. 1 Heikkilä, Matias 1 Heiny, Johannes 1 Hotta, Luiz Koodi 1 Jiang, Feiyu 1 Jondeau, Eric 1 Kaibuchi, H. 1 Kim, Donggyu 1 Kim, Jihyun 1 Kim, Moosup 1 Kithinji, Martin M. 1 Kube, Ananda O. 1 Lee, Sangyeol 1 Li, Chenxue 1 Li, Dong 1 Li, Shuo 1 Li, Sophia Zhengzi 1 Linton, Oliver Bruce 1 Lu, Wanbo 1 Ma, Jun 1 Marmer, Vadim 1 Meddahi, Nour 1 Milas, Costas 1 Mwita, Peter Nyamuhanga 1 Ng, Wai Leong 1 Nicolau, João 1 Otsu, Taisuke 1 Panagiotidis, Theodore 1 Peng, Liang 1 Peng, Liuhua 1 Prono, Todd 1 Rice, Gregory 1 Rodrigues, Paulo M. M. 1 Ruiz, Esther 1 Sasaki, Yuya 1 Schluter, Christian 1 Şenoğlu, Birdal 1 Shen, Liming 1 Shin, Dongwan 1 Shin, Minseok 1 Smeekes, Stephan 1 So, Mike K. P. 1 Song, Xiaojun 1 Stoykov, Marian Z. 1 Taylor, A. M. Robert 1 Ternes, Marie 1 Todorov, Viktor 1 Trapani, Lorenzo 1 Trede, Mark 1 Triacca, Umberto 1 Trucíos, Carlos 1 Tuaç, Yetkin 1 Usseglio-Carleve, Antoine 1 Veličković, Vladica M. 1 Veredas, David 1 Wang, Haiying 1 Wang, Ping 1 Wang, Yanfeng ...and 17 more Authors all top 5 Cited in 30 Serials 13 Journal of Econometrics 7 Journal of Time Series Analysis 6 Econometric Theory 4 Econometric Reviews 4 Bernoulli 3 Journal of Statistical Planning and Inference 3 Statistics & Probability Letters 3 Economics Letters 3 Studies in Nonlinear Dynamics and Econometrics 2 The Annals of Statistics 2 Journal of Statistical Computation and Simulation 2 Statistical Papers 2 Journal of Nonparametric Statistics 2 Extremes 2 Journal of Business and Economic Statistics 1 Physica A 1 Annals of the Institute of Statistical Mathematics 1 International Statistical Review 1 Journal of Computational and Applied Mathematics 1 Journal of Multivariate Analysis 1 Statistics 1 Computational Statistics 1 Communications in Statistics. Simulation and Computation 1 Computational Statistics and Data Analysis 1 Brazilian Journal of Probability and Statistics 1 Quantitative Finance 1 Electronic Journal of Statistics 1 Journal of Computational and Graphical Statistics 1 Journal of Probability and Statistics 1 Journal of the Japan Statistical Society. Japanese Issue all top 5 Cited in 7 Fields 71 Statistics (62-XX) 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Probability theory and stochastic processes (60-XX) 2 Numerical analysis (65-XX) 1 Functional analysis (46-XX) 1 Computer science (68-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year