Work

Subsampling the mean of heavy‐tailed dependent observations

Year: 2004

Type: article

Abstract: . We establish the validity of subsampling confidence intervals for the mean of a dependent series with heavy‐tailed marginal distributions. Using point process theory, we focus on GARCH‐like time series models. We propose a data‐dependent method for the optimal block size selection and investigate its performance by means of a simulation study.

Source: Journal of Time Series Analysis

DOI: 10.1046/j.0143-9782.2003.00346.x

Authors: Piotr Kokoszka, Michael Wolf

Institutions: Utah State University, Universitat Pompeu Fabra, University of Zurich

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2129116741

FWCI: 2.316

Cites: 23

Cited by: 30

Related to: 10