We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...

We address the problem of estimating the autocovariance matrix of a stationary process. Under short range dependence assumptions, convergence rates are established for a gradually tapered version of the sample autocovariance matrix and for its inverse. The proposed estimator is formed by leaving...

We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme applied to a full rank integrated process, succeeds in estimating...