Mikosch, T.

distribution noise estimate sample regression coefficient 1.00 result model slope variation condition country process index value estimator section probability variable slope estimates lemma premium mikosch ols estimator tailed theory innovation table vries / journal variance limit additive · · · coefficient estimates regression estimators quantile multiplicative proposition proof sequence student i.i.d tail probabilities estimators curve expectation assumption application study period additive noise journal property behavior structure figure example number parameter function uncertainty dependency dependence index α 3 rd quartile 1 st quartile statistic term premium p point column paper econometrics garch processes simulation student-t moment liquidity premium limit theorem quartile