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

DOI10.1016/S0165-1765(03)00023-5MaRDI QIDQ1927313zbMATH OpenFDO

Authors Yanyan Li

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(03)00023-5

zbMATH Keywords

correlation integralMonte Carlo testsserial dependencevolatility clustering

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)

Recommendations

• A monte carlo investigation of the BDS statistic
• Diagnostic checking for the adequacy of nonlinear time series models
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Cites work

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

Cited in

(5)

• A modified BDS test
• DETECTING AND MODELING TAIL DEPENDENCE
• A monte carlo investigation of the BDS statistic
• Market timing: recent development and a new test
• Optimal Range for the iid Test Based on Integration Across the Correlation Integral

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