• 165 Citations
  • 8 h-Index
20022018
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Tail Index Mathematics
Tail Mathematics
Empirical Likelihood Mathematics
Trimming Mathematics
Generalized Autoregressive Conditional Heteroscedasticity Mathematics
Estimator Mathematics
Infinite Variance Mathematics
Tail Dependence Mathematics

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Research Output 2002 2018

  • 165 Citations
  • 8 h-Index
  • 23 Article
  • 1 Chapter

Testing the white noise hypothesis of stock returns

Hill, J. B. & Motegi, K., Jan 1 2018, (Accepted/In press) In : Economic Modelling.

Research output: Contribution to journalArticle

Stock returns
Testing
Periodicity
Subprime mortgages
Stock market
2 Citations

Parameter Estimation Robust to Low-Frequency Contamination

McCloskey, A. & Hill, J. B., Oct 2 2017, In : Journal of Business and Economic Statistics. 35, 4, p. 598-610 13 p.

Research output: Contribution to journalArticle

Deterministic Trend
Level Shift
Robust Estimation
Contamination
Quasi-maximum Likelihood
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: Contribution to journalArticle

GARCH Model
Likelihood Inference
Trimming
Empirical Likelihood
Tail
11 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: Contribution to journalArticle

Granger Causality
Testing
Low Frequency
Asymptotic Power
Macroeconomics

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: Contribution to journalArticle

Interval Estimation
Empirical Likelihood
Likelihood Methods
Unit Root
Jackknife