79 citations · 280 across the 39 of their papers we have counts for
5 papers · 1 filter
Testing relevant hypotheses in functional time series via self-normalization
Holger Dette, Kevin Kokot, Stanislav Volgushev
In this paper we develop methodology for testing relevant hypotheses about functional time series in a tuning-free way. Instead of testing for exact equality, for example for the e…
On Second Order Conditions in the Multivariate Block Maxima and Peak over Threshold Method
Axel Bücher, Stanislav Volgushev, Nan Zou
Second order conditions provide a natural framework for establishing asymptotic results about estimators for tail related quantities. Such conditions are typically tailored to the…
On the Unbiased Asymptotic Normality of Quantile Regression with Fixed Effects
Antonio F. Galvao, Jiaying Gu, Stanislav Volgushev
Nonlinear panel data models with fixed individual effects provide an important set of tools for describing microeconometric data. In a large class of such models (including probit,…
Model assessment for time series dynamics using copula spectral densities: a graphical tool
Stefan Birr, Tobias Kley, Stanislav Volgushev
Finding parametric models that accurately describe the dependence structure of observed data is a central task in the analysis of time series. Classical frequency domain methods pr…
Panel Data Quantile Regression with Grouped Fixed Effects
Jiaying Gu, Stanislav Volgushev
This paper introduces estimation methods for grouped latent heterogeneity in panel data quantile regression. We assume that the observed individuals come from a heterogeneous popul…