A multivariate heavy-tailed distribution for arch/garch residuals

von Politis, Dimitris N.
Veröffentlicht in Econometric analysis of financial and economic time series ; part a (2006)

An algorithm for robust fitting of autoregressive models

von Politis, Dimitris N.
Veröffentlicht in Economics letters (2009)

Model-free prediction and regression : a transformation-based approach to inference

von Politis, Dimitris N.
Veröffentlicht 2015

A heavy-tailed distribution for ARCH residuals with application to volatility prediction

von Politis, Dimitris N.
Veröffentlicht in Annals of economics and finance (2004)

Model-free versus model-based volatility prediction

von Politis, Dimitris N.
Veröffentlicht in Journal of financial econometrics (2007)

Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices

von Politis, Dimitris N.
Veröffentlicht in Econometric theory (2011)

Model-free volatility prediction

von Politis, Dimitris N.
Veröffentlicht 2003

Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics

von McElroy, Tucker
Veröffentlicht in Journal of econometrics (2014)

Robust inference for the mean in the presence of serial correlation and heavy-tailed distributions

von McElroy, Tucker
Veröffentlicht in Econometric theory (2002)

Residual-based block bootstrap for unit root testing

von Paparoditis, Efstathios
Veröffentlicht in Econometrica (2003)

Time Series : a first course with Bootstrap Starter

von McElroy, Tucker
Veröffentlicht 2020

Automatic block-length selection for the dependent bootstrap

von Politis, Dimitris N.
Veröffentlicht in Econometric reviews (2004)

A Markovian local resampling scheme for nonparametric estimators in time series analysis

von Paparoditis, Efstathios
Veröffentlicht in Econometric theory (2001)

The asymptotic size and power of the augmented Dickey-Fuller test for a unit root

von Paparoditis, Efstathios
Veröffentlicht in Econometric reviews (2018)

Resampling and subsampling for financial time series

von Paparoditis, Efstathios
Veröffentlicht in Handbook of financial time series (2009)

The tapered block bootstrap for general statistics from stationary sequences

von Paparoditis, Efstathios
Veröffentlicht in The econometrics journal (2002)

Unit root testing via the continuous-path block bootstrap

von Paparoditis, Efstathios
Veröffentlicht 2001

Fixed-b asymptotics for the studentized mean from time series with short, long, or negative memory

von McElroy, Tucker
Veröffentlicht in Econometric theory (2012)

Bootstrapping unit root tests for autoregressive time series

von Paparoditis, Efstathios
Veröffentlicht in American Statistical Association Journal of the American Statistical Association (2005)

Distribution theory for the studentized mean for long, short, and negative memory time series

von McElroy, Tucker
Veröffentlicht in Journal of econometrics (2013)