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Automatic block-length selection for the dependent bootstrap

Politis, Dimitris N.; White, Halbert - In: Econometric reviews 23 (2004) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10001944765

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

Politis, Dimitris N. - In: Econometric theory 27 (2011) 4, pp. 703-744

Persistent link: https://www.econbiz.de/10009311779

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

Politis, Dimitris N. (contributor) - 2004

Persistent link: https://www.econbiz.de/10003761413

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

Politis, Dimitris N. - In: Annals of economics and finance 5 (2004) 2, pp. 283-298

Persistent link: https://www.econbiz.de/10002544919

Unit root testing via the stationary bootstrap

Parker, Cameron; Paparoditis, Efstathios; Politis, … - In: Journal of econometrics 133 (2006) 2, pp. 601-638

Persistent link: https://www.econbiz.de/10003359595

Resampling and subsampling for financial time series

Paparoditis, Efstathios; Politis, Dimitris N. - In: Handbook of financial time series, (pp. 983-999). 2009

Persistent link: https://www.econbiz.de/10003834282

Banded and tapered estimates for autocovariance matrices and the linear process bootstrap

McMurry, Timothy L.; Politis, Dimitris N. - 2010

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...

Persistent link: https://www.econbiz.de/10008779839

Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions

Pan, Li; Politis, Dimitris N. - 2014

Persistent link: https://www.econbiz.de/10010370899

High-dimensional autocovariance matrices and optimal linear prediction

McMurry, Timothy L.; Politis, Dimitris N. - 2014

Persistent link: https://www.econbiz.de/10011442203

Tapered block bootstrap for unit root testing

Parker, Cameron; Paparoditis, Efstathios; Politis, … - In: Journal of time series econometrics 7 (2015) 1, pp. 37-67

Persistent link: https://www.econbiz.de/10010510047