Kokoszka, PiotrWolf, MichaelUniversitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262002-02-01Journal of Econometrics, 127, 201-224, 2005http://hdl.handle.net/10230/384We 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commonsinfo:eu-repo/semantics/workingPaperheavy tailslinear time seriessubsamplingStatistics, Econometrics and Quantitative Methodsinfo:eu-repo/semantics/openAccess