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Jonathan B. Hill
Jonathan B. Hill
Verified email at email.unc.edu - Homepage
Title
Cited by
Cited by
Year
On tail index estimation for dependent, heterogeneous data
JB Hill
Econometric Theory 26 (5), 1398-1436, 2010
1302010
Testing for Granger causality with mixed frequency data
E Ghysels, JB Hill, K Motegi
Journal of Econometrics 192 (1), 207-230, 2016
1282016
Efficient tests of long‐run causation in trivariate VAR processes with a rolling window study of the money–income relationship
JB Hill
Journal of Applied Econometrics 22 (4), 747-765, 2007
742007
On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
JB Hill
Journal of Statistical Planning and Inference 139 (6), 2091-2110, 2009
472009
Robust estimation and inference for heavy tailed GARCH
JB Hill
432015
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
E Ghysels, JB Hill, K Motegi
Journal of Econometrics 218 (2), 633-654, 2020
40*2020
Least tail‐trimmed squares for infinite variance autoregressions
JB Hill
Journal of Time Series Analysis 34 (2), 168-186, 2013
332013
Generalized method of moments with tail trimming
JB Hill, E Renault
Dept. of Economics, University of North Carolina-Chapel Hill, 2010
332010
Royal African Company Share Prices during the South Sea Bubble
AM Carlos, N Moyen, J Hill
Explorations in Economic History 39 (1), 61-87, 2002
332002
Expected shortfall estimation and Gaussian inference for infinite variance time series
JB Hill
Journal of Financial Econometrics 13 (1), 1-44, 2015
312015
Are there common values in first-price auctions? A tail-index nonparametric test
JB Hill, A Shneyerov
Journal of econometrics 174 (2), 144-164, 2013
292013
Tail and nontail memory with applications to extreme value and robust statistics
JB Hill
Econometric Theory 27 (4), 844-884, 2011
282011
Testing the white noise hypothesis of stock returns
JB Hill, K Motegi
Economic Modelling 76, 231-242, 2019
272019
Parameter estimation robust to low-frequency contamination
A McCloskey, JB Hill
Journal of Business & Economic Statistics 35 (4), 598-610, 2017
272017
GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
JB Hill, A Prokhorov
Journal of Econometrics 190 (1), 18-45, 2016
232016
Tail index estimation for a filtered dependent time series
JB Hill
Statistica Sinica, 609-629, 2015
222015
Unified interval estimation for random coefficient autoregressive models
J Hill, L Peng
Journal of Time Series Analysis 35 (3), 282-297, 2014
202014
A max-correlation white noise test for weakly dependent time series
JB Hill, K Motegi
Econometric Theory 36 (5), 907-960, 2020
192020
Heavy tail robust estimation and inference for average treatment effects
S Chaudhuri, JB Hill
Working paper, 2014
192014
Variance targeting for heavy tailed time series
JB Hill, E Renault
Unpublished manuscript, University of North Carolina at Chapel Hill, 2012
182012
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