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Subsampling Unit Root Tests for Heavy-Tailed Observations · Study

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ArticleSubsampling Unit Root Tests for Heavy-Tailed Observations

Agnieszka Jach2004

Article2004

Subsampling Unit Root Tests for Heavy-Tailed Observations

Agnieszka Jach · Piotr S. Kokoszka

20 citations·0/0 files stored·Methodology And Computing In Applied Probability

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Monetary Policy and Economic Impact Advanced Statistical Methods and Models Diverse Scientific and Economic Studies

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References

1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 2000Stable Paretian Models in Finance 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets 2000Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process 1985Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities

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2011Unit root bootstrap tests under infinite variance 2008Subsampling tests for the mean change point with heavy-tailed innovations

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Year2004

Typearticle

Published2004-01-19

VenueMethodology And Computing In Applied Probability

ISSN-L1387-5841

Languageen

Citations20

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1023/b:mcap.0000012416.28866.c5

openalex_workW2002901580

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