Colabora: Universitat Pompeu Fabra. Departament d'
Economia i Empresa
Autor/es: Piotr Kokoszka; Michael Wolf;
Resumen : 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 study both linear and nonlinear 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.
