Detecting serial dependence in tail events: a test dual to the BDS test

DOI10.1016/S0165-1765(03)00023-5zbMath1255.62241MaRDI QIDQ1927313

Yanyan Li

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

serial dependencevolatility clusteringcorrelation integralMonte Carlo tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items (2)

Optimal Range for the iid Test Based on Integration Across the Correlation Integral ⋮ A modified BDS test

Cites Work

• Nonlinearity tests for time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A test for independence based on the correlation dimension
• A test for symmetries of multivariate probability distributions
• On spurious Granger causality

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