Detecting serial dependence in tail events: a test dual to the BDS test (Q1927313)
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scientific article; zbMATH DE number 6120043
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| English | Detecting serial dependence in tail events: a test dual to the BDS test |
scientific article; zbMATH DE number 6120043 |
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Detecting serial dependence in tail events: a test dual to the BDS test (English)
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1 January 2013
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serial dependence
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correlation integral
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Monte Carlo tests
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volatility clustering
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0.8235633373260498
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0.8235633373260498
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0.8202897310256958
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0.8153228759765625
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0.7911599278450012
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