Similar Search Results

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

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

Politis, Dimitris N. (contributor) - 2005

Persistent link: https://www.econbiz.de/10003761875

The variance of sample autocorrelations : does Barlett's formula work with ARCH data?

Kokoszka, Piotr S. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003782412

NoVaS transformations : flexible inference for volatility forecasting

Politis, Dimitris N. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003782415

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

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - In: Econometric theory 29 (2013) 3, pp. 567-589

Persistent link: https://www.econbiz.de/10009778510

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

On the behavior of nonparametric density and spectral density estimators at zero points of their support

Politis, Dimitris N. - 2012

Persistent link: https://www.econbiz.de/10010205484

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - 2012

Persistent link: https://www.econbiz.de/10009554396

Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions

Pan, Li; Politis, Dimitris N. - 2014

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