Block bootstrap testing for changes in persistence with heavy-tailed innovations
Author:
Affiliation:
1. School of Mathematical Sciences, Shanxi University, Taiyuan Shanxi, China
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2017.1316398
Reference14 articles.
1. Tests of stationarity against a change in persistence
2. Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
3. Residual-Based Block Bootstrap for Unit Root Testing
4. From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
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