Fingerprint Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

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Estimator Business & Economics
Tail Mathematics
Tail index Business & Economics
Empirical Likelihood Mathematics
Inference Business & Economics
Tail Index Mathematics
Functional form Business & Economics
Heavy tails Business & Economics

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Research Output 2002 2016

  • 126 Citations
  • 7 h-Index
  • 21 Article
  • 1 Chapter
2 Citations

GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

Hill, J. B. & Prokhorov, A. Jan 1 2016 In : Journal of Econometrics. 190, 1, p. 18-45 28 p.

Research output: Research - peer-reviewArticle

GARCH Model
Likelihood Inference
Empirical Likelihood
Tail
GARCH model
6 Citations

Testing for Granger causality with mixed frequency data

Ghysels, E., Hill, J. B. & Motegi, K. May 1 2016 In : Journal of Econometrics. 192, 1, p. 207-230 24 p.

Research output: Research - peer-reviewArticle

Granger Causality
Testing
Granger causality
Mixed frequency data
Low Frequency

Uniform interval estimation for an AR(1) process with AR errors

Hill, J., Li, D. & Peng, L. Jan 1 2016 In : Statistica Sinica. 26, 1, p. 119-136 18 p.

Research output: Research - peer-reviewArticle

Interval Estimation
Interval estimation
Empirical Likelihood
Likelihood Methods
Empirical likelihood
2 Citations
Estimator
Inference
Expected shortfall
Small sample
Financial returns
5 Citations

Robust estimation and inference for heavy tailed GARCH

Hill, J. B. Aug 1 2015 In : Bernoulli. 21, 3, p. 1629-1669 41 p.

Research output: Research - peer-reviewArticle

Robust Inference
Generalized Autoregressive Conditional Heteroscedasticity
Robust Estimation
Estimator
Trimming