Subsampling the mean of heavy-tailed dependent observations
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- Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(1), pages 17-39, February.
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More about this item
Keywords
Heavy tails; linear time series; subsampling;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2002-02-22 (Econometrics)
- NEP-ETS-2002-02-15 (Econometric Time Series)
- NEP-IAS-2002-02-15 (Insurance Economics)
- NEP-PKE-2002-02-15 (Post Keynesian Economics)
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