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20172026
most citedCharacterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach

2 citations · 2 across the 4 of their papers we have counts for

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econ.EM2020

New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence

Rustam Ibragimov, Rasmus Pedersen, Anton Skrobotov

Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the anal…