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Inference for Some Multivariate Arch and GARCH Models
Vrontos, Ioannis D.; Dellaportas, Petros; Politis, … - 2004
Multivariate time varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have attracted a lot of practical interest. Bayesian and classical techniques...
Persistent link: https://www.econbiz.de/10014068928
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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
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A heavy-tailed distribution for ARCH residuals with application to volatility prediction
Politis, Dimitris N. (contributor) - 2004
Persistent link: https://www.econbiz.de/10003761413
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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
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Subsampling for heteroskedastic time series
Politis, Dimitris N.; Romano, Joseph P.; Wolf, Michael - In: Journal of econometrics 81 (1997) 2, pp. 281-317
Persistent link: https://www.econbiz.de/10001229279
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Subsampling for econometric models : comments on "bootstrapping time series models"
Politis, Dimitris N. - In: Econometric reviews 15 (1996) 2, pp. 169-176
Persistent link: https://www.econbiz.de/10001198906
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A Markovian local resampling scheme for nonparametric estimators in time series analysis
Paparoditis, Efstathios; Politis, Dimitris N. - In: Econometric theory 17 (2001) 3, pp. 540-566
Persistent link: https://www.econbiz.de/10001589016
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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
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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
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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