Home/Author

Dimitris N. Politis

13 works· latest 2016· 3 institutionscluster: provisionalORCID 0000-0002-0574-3685

h-index13

i1013

Citations1,063

Works here13

Most cited in this library

The asymptotic size and power of the augmented Dickey–Fuller test for a unit root2016 · 161 citations
Residual-Based Block Bootstrap for Unit Root Testing2003 · 149 citations
A full-factor multivariate GARCH model2003 · 146 citations
Full Bayesian Inference for GARCH and EGARCH Models2000 · 141 citations
HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES2011 · 112 citations

Works

13 shown

The asymptotic size and power of the augmented Dickey–Fuller test for a unit root

Econometric Reviews·2016·2 authors·Open access

161citations

Model-Free vs. Model-Based Volatility Prediction

Springer eBooks·2015·1 author·chapter

26citations

Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

Journal of Statistical Planning and Inference·2014·2 authors·Open access

93citations

HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES

Econometric Theory·2011·1 author

112citations

Model-free versus Model-based Volatility Prediction

Journal of Financial Econometrics·2007·1 author

28citations

Unit root testing via the stationary bootstrap

Journal of Econometrics·2005·3 authors

68citations

Bootstrapping Unit Root Tests for Autoregressive Time Series

Journal of the American Statistical Association·2005·2 authors

51citations

A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction

RePEc: Research Papers in Economics·2004·1 author·preprint·Open access

30citations

A full-factor multivariate GARCH model

Econometrics Journal·2003·3 authors·Open access

146citations

Subsampling the distribution of diverging statistics with applications to finance

Journal of Econometrics·2003·4 authors

33citations

Residual-Based Block Bootstrap for Unit Root Testing

Econometrica·2003·2 authors

149citations

A normalizing and variance–stabilizing transformation for financial time series

Elsevier eBooks·2003·1 author·chapter

25citations

Full Bayesian Inference for GARCH and EGARCH Models

Journal of Business and Economic Statistics·2000·3 authors

141citations