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Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series

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  • Łukasz Lenart

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  • Łukasz Lenart, 2016. "Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 369-404, May.
    • Handle: RePEc:bla:jtsera:v:37:y:2016:i:3:p:369-404
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    References listed on IDEAS

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    1. Parzen, Emanuel & Pagano, Marcello, 1979. "An approach to modeling seasonally stationary time series," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 137-153, January.
    2. Gonçalves, Sílvia & White, Halbert, 2002. "The Bootstrap Of The Mean For Dependent Heterogeneous Arrays," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1367-1384, December.
    3. Hurd, Harry L., 1991. "Correlation theory of almost periodically correlated processes," Journal of Multivariate Analysis, Elsevier, vol. 37(1), pages 24-45, April.
    4. Lenart, Łukasz, 2013. "Non-parametric frequency identification and estimation in mean function for almost periodically correlated time series," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 252-269.
    5. ŁUkasz Lenart & Jacek Leśkow & Rafał Synowiecki, 2008. "Subsampling in testing autocovariance for periodically correlated time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 995-1018, November.
    6. A. Dudek, 2015. "Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(3), pages 313-335, April.
    7. Osborn, Denise R., 1991. "The implications of periodically varying coefficients for seasonal time-series processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 373-384, June.
    8. Blazej Mazur & Mateusz Pipien, 2012. "On the empirical importance of periodicity in the volatility of financial time series," NBP Working Papers 124, Narodowy Bank Polski.
    9. Błażej Mazur & Mateusz Pipień, 2012. "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 95-116, June.
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