Similar Search Results - EconBiz

High-dimensional autocovariance matrices and optimal linear prediction

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

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

Block bootstrap theory for multivariate integrated and cointegrated processes

Jentsch, Carsten; Paparoditis, Efstathios; Politis, … - 2014

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...

Persistent link: https://www.econbiz.de/10011490558

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

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

McElroy, Tucker; Politis, Dimitris N. - In: Econometric theory 28 (2012) 2, pp. 471-481

Persistent link: https://www.econbiz.de/10009520933

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

Bootstrapping unit root tests for autoregressive time series

Paparoditis, Efstathios; Politis, Dimitris N. - In: Journal of the American Statistical Association : JASA 100 (2005) 470, pp. 545-553

Persistent link: https://www.econbiz.de/10002929370

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

McElroy, Tucker; Politis, Dimitris N. - In: Econometric theory 18 (2002) 5, pp. 1019-1039

Persistent link: https://www.econbiz.de/10001702322

A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks

Bertail, Patrice (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001641513

A full-factor multivariate GARCH model

Vrontos, I. D.; Dellaportas, P.; Politis, Dimitris N. - In: The econometrics journal 6 (2003) 2, pp. 312-334

Persistent link: https://www.econbiz.de/10001831255

Inference for some multivariate ARCH and GARCH models

Vrontos, I. D.; Dellaportas, Petros; Politis, Dimitris N. - In: Journal of forecasting 22 (2003) 6/7, pp. 427-446

Persistent link: https://www.econbiz.de/10001836432

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