Dimitris N. Politis

University of California, San Diego (UCSD) - Department of Mathematics

9500 Gilman Drive

La Jolla, CA 92093-0112

United States

SCHOLARLY PAPERS

15

DOWNLOADS

229

SSRN CITATIONS
Rank 28,417

SSRN RANKINGS

Top 28,417

in Total Papers Citations

4

CROSSREF CITATIONS

27

Scholarly Papers (15)

1.

A Subsampling Approach to Estimating the Distribution of Diversing Statistics with Application to Assessing Financial Market Risks

UPF, Economics and Business Working Paper No. 599
Number of pages: 39 Posted: 24 Oct 2002
University Paris-Ouest and CREST-Insee, Institute for Advanced Studies (IHS), University of California, San Diego (UCSD) - Department of Mathematics and University of California, San Diego (UCSD) - Department of Economics
Downloads 205 (206,664)
Citation 2

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Resampling methods, extreme value statistics, value at risk, portofolio selection

2.

Inference for Autocorrelations in the Possible Presence of a Unit Root

Number of pages: 13 Posted: 29 Mar 2004
Dimitris N. Politis, Joseph P. Romano and Michael Wolf
University of California, San Diego (UCSD) - Department of Mathematics, Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 13 (760,684)

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Autocorrelations, confidence band, confidence interval, integrated series

3.

Banded and Tapered Estimates for Autocovariance Matrices and the Linear Process Bootstrap

Journal of Time Series Analysis, Vol. 31, Issue 6, pp. 471-482, November 2010
Number of pages: 12 Posted: 12 Oct 2010
Timothy L. McMurry and Dimitris N. Politis
DePaul University and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 4 (850,631)

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4.

Subsampling Inference for the Mean of Heavy‐Tailed Long‐Memory Time Series

Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 96-111, 2012
Number of pages: 16 Posted: 28 Dec 2011
Agnieszka Jach, Tucker McElroy and Dimitris N. Politis
Hanken School of Economics, U.S. Census Bureau - Center for Statistical Research and Methodology and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 3 (862,252)
Citation 2

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Infinite variance, self‐normalization, subsampling, weak dependence, adaptive block size

5.

Nonlinear Spectral Density Estimation: Thresholding the Correlogram

Journal of Time Series Analysis, Vol. 33, Issue 3, pp. 386-397, 2012
Number of pages: 12 Posted: 21 Apr 2012
Efstathios Paparoditis and Dimitris N. Politis
University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 2 (875,112)

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Autocovariance matrix, flat‐top lag‐windows, kernel smoothing, sparsity, thresholding, wavelets

6.

Estimating MA Parameters Through Factorization of the Autocovariance Matrix and an Ma‐Sieve Bootstrap

Journal of Time Series Analysis, Vol. 39, Issue 3, pp. 433-446, 2018
Number of pages: 14 Posted: 16 Apr 2018
Timothy L. McMurry and Dimitris N. Politis
DePaul University and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 1 (889,430)

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ARMA models, sieve bootstrap, Wold representation

7.

A Generalized Block Bootstrap for Seasonal Time Series

Journal of Time Series Analysis, Vol. 35, Issue 2, pp. 89-114, 2014
Number of pages: 26 Posted: 07 Feb 2014
AGH University of Science and Technology, Cracow University of Technology - Department of Econometrics, University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 1 (889,430)

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Periodic time series, resampling, seasonality

8.

Higher‐Order Accurate Spectral Density Estimation of Functional Time Series

Journal of Time Series Analysis, Vol. 41, Issue 1, pp. 3-20, 2020
Number of pages: 18 Posted: 29 May 2020
Tingyi Zhu and Dimitris N. Politis
University of California, San Diego (UCSD) and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 0 (906,128)

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Functional time series, spectral density kernel, spectral density estimation flat‐top kernel, positive semi‐definite estimation

9.

A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of Their Support

Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 182-194, 2016
Number of pages: 13 Posted: 26 Jan 2016
Efstathios Paparoditis and Dimitris N. Politis
University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 0 (906,128)

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Central limit theorem, kernel smoothing, nonparametric estimation, overdifferencing, time series

10.

Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes

Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 416-441, 2015
Number of pages: 26 Posted: 24 Apr 2015
Carsten Jentsch, Dimitris N. Politis and Efstathios Paparoditis
University of Mannheim, University of California, San Diego (UCSD) - Department of Mathematics and University of Cyprus - Department of Mathematics and Statistics
Downloads 0 (906,128)
Citation 1

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Block bootstrap, bootstrap consistency, spurious regression, functional limit theorem, continuous‐path block bootstrap, model‐based block bootstrap subclass

11.

Model-Free Versus Model-Based Volatility Prediction

Journal of Financial Econometrics, Vol. 5, Issue 3, pp. 358-359, 2007
Posted: 16 Jun 2008
Dimitris N. Politis
University of California, San Diego (UCSD) - Department of Mathematics

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ARCH/GARCH models, forecasting, L methods, volatility

12.

Inference for Some Multivariate Arch and GARCH Models

Journal of Forecasting, Vol. 22, pp. 427-446, 2003
Posted: 26 Oct 2004
Ioannis D. Vrontos, Petros Dellaportas and Dimitris N. Politis
Athens University of Economics and Business, Athens University of Economics and Business and University of California, San Diego (UCSD) - Department of Mathematics

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Autoregressive conditional heteroscedasticity, Markov chain Monte Carlo, Maximum likelihood, Model comparison, Predictive distribution

13.

Full Bayesian Inference for GARCH and Egarch Models

Journal of Business and Economics Statistics, Vol. 18, No. 2, pp. 187-198, 2000
Posted: 26 Oct 2004
Ioannis D. Vrontos, Petros Dellaportas and Dimitris N. Politis
Athens University of Economics and Business, Athens University of Economics and Business and University of California, San Diego (UCSD) - Department of Mathematics

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Markov-chain Monte Carlo, model averaging, reversible jump, volatility prediction

14.

A Full-Factor Multivariate GARCH Model

Posted: 21 Oct 2004
Ioannis D. Vrontos, Petros Dellaportas and Dimitris N. Politis
Athens University of Economics and Business, Athens University of Economics and Business and University of California, San Diego (UCSD) - Department of Mathematics

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Autoregressive conditional heteroscedasticity, Bayesian model averaging, Markov chain Monte Carlo model composition, Maximum likelihood estimation

15.

Unit Root Testing Via the Continuous-Path Block Bootstrap

UCSD Economics Discussion Paper No. 2001-06
Posted: 16 Jul 2001
Efstathios Paparoditis and Dimitris N. Politis
University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics

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Block-Bootstrap, Integrated Series, Resampling, Nonstationary Data