منابع مشابه
Heavy Tails of Ols
Suppose the tails of the noise distribution in a regression exhibit power law behavior. Then the distribution of the OLS regression estimator inherits this tail behavior. This is relevant for regressions involving nancial data. We derive explicit nite sample expressions for the tail probabilities of the distribution of the OLS estimator. These are useful for inference. Simulations for medium ...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2013
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2013.02.019