Multi-scale tests for serial correlation

DOI10.1016/j.jeconom.2014.08.002zbMath1332.62297OpenAlexW2107781784MaRDI QIDQ473345

Daniele Signori, Ramazan Gençay

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.08.002

zbMATH Keywords

waveletsindependenceserial correlationvariance decompositiondiscrete wavelet transformationmaximum overlap wavelet transformationvariance ratio test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (12)

Statistical tests of distributional scaling properties for financial return series ⋮ Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment ⋮ Tests for serial correlation of unknown form in dynamic least squares regression with wavelets ⋮ Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area ⋮ Amplitude and phase synchronization of European business cycles: a wavelet approach ⋮ Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes ⋮ Estimation of long memory in volatility using wavelets ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Multivariate Wavelet Whittle Estimation in Long-range Dependence ⋮ Long-run wavelet-based correlation for financial time series ⋮ Model-free tests for series correlation in multivariate linear regression ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators

Uses Software

• wmtsa

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