Bootstrap testing for discontinuities under long-range dependence-Reference-Cited by-同舟云学术

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Bootstrap testing for discontinuities under long-range dependence

Published:2012-02 Issue:1 Volume:105 Page:322-347
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Beran Jan,Shumeyko Yevgen

Funder

German Research Foundation

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference78 articles.

1. Wavelet thresholding via a Bayesian approach;Abramovich;Journal of Royal Statistical Society,1998

2. Estimating the degree of activity of jumps in high frequency data;Ait-Sahalia;The Annals of Statistics,2009

3. Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes;Andrews;Journal of Econometrics,2006

4. Bootstrapping the log-periodogram regression;Arteche;Economics Letters,2005

5. Modelling structural breaks, long memory and stock market volatility: an overview;Banerjee;Journal of Econometrics,2005

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Resampling;Long-Memory Processes;2013

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