A test for independence based on the correlation dimension
From MaRDI portal
Publication:4355133
Recommendations
Cites work
- scientific article; zbMATH DE number 422179 (Why is no real title available?)
- scientific article; zbMATH DE number 1161569 (Why is no real title available?)
- A Consistent Conditional Moment Test of Functional Form
- A TEST FOR LINEARITY OF STATIONARY TIME SERIES
- ARCH modeling in finance. A review of the theory and empirical evidence
- Approximation Theorems of Mathematical Statistics
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Convergence of stochastic processes
- Diagnostic testing and evaluation of maximum likelihood models
- Generalized autoregressive conditional heteroscedasticity
- Nonlinearity tests for time series
- On Information and Sufficiency
- On U-statistics and v. mise? statistics for weakly dependent processes
- On the asymptotic normality of statistics with estimated parameters
- Rigorous statistical procedures for data from dynamical systems
- TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
- Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
- The Bierens test under data dependence
Cited in
(only showing first 100 items - show all)- Diagnostic checking for the adequacy of nonlinear time series models
- Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
- Markov chain order estimation based on the chi-square divergence
- Stationarity and nonstationarity in time series analysis
- A positive Lyapunov exponent in Swedish exchange rates?
- Time series analysis for minority game simulations of financial markets
- Martingales, nonlinearity, and chaos
- The shifting dependence dynamics between the G7 stock markets
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
- A generalized BDS statistic
- A note on spurious nonlinear regression
- Applying Diebold–Mariano Test for Performance Evaluation Between Individual and Hybrid Time-Series Models for Modeling Bivariate Time-Series Data and Forecasting the Unemployment Rate in the USA
- Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK
- Some properties of local Gaussian correlation and other nonlinear dependence measures
- Experimental modeling of electromagnetic wave scattering from an ocean surface based on chaotic theory
- High level chaos in the exchange and index markets
- Stochastic Volatility Models Predictive Relevance for Equity Markets
- New evidence on the relation between return volatility and trading volume
- Does economic policy uncertainty predict exchange rate returns and volatility? Evidence from a nonparametric causality-in-quantiles test
- State dependent models of stock returns
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
- Dynamical systems identification from time-series data: A Hankel matrix approach
- Statistical dependence: beyond Pearson's \(\rho\)
- On the robustness of nonlinearity tests to moment condition failure
- Time series and dependent variables
- Testing for dependence in the input to a linear time series model
- Efficient goods inspection demand at ports: a comparative forecasting approach
- Identification and verification of chaotic dynamics in a missile system from experimental time series
- Identification of TAR models using recursive estimation
- Non parametric portmanteau tests for detecting non linearities in high dimensions
- TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA
- Dependent variables in broad band continuous time series
- Tests for Serial Independence and Linearity Based on Correlation Integrals
- Optimal Range for the iid Test Based on Integration Across the Correlation Integral
- Nonparametric entropy-based tests of independence between stochastic processes
- Asymmetric dynamics between uncertainty and unemployment flows in the United States
- A monte carlo investigation of the BDS statistic
- NONLINEARITY IN THE CANADIAN AND U.S. LABOR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS
- Nonlinear Time Series Models and Model Selection
- Testing for efficiency and non-linearity in market and natural time series
- Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos
- Empirical chaotic dynamics in economics
- A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
- A New Bispectral Test for NonLinear Serial Dependence
- Testing for nonlinearity in time series: the method of surrogate data
- Correlation integral for stationary Gaussian time series
- A new coding system to test independence of time series
- Nonlinearities in the exchange rates returns and volatility
- Oil price forecastability and economic uncertainty
- How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
- Nonlinear dynamics delay times, and embedding windows
- A misspecification test for multiplicative error models of non-negative time series processes
- Chaotic time series analysis in economics: balance and perspectives
- A nonparametric distribution-free test for serial independence of errors
- A new statistic and practical guidelines for nonparametric Granger causality testing
- A non-parametric independence test using permutation entropy
- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
- Arch model with Box-Cox transformed dependent variable
- A Sequential and Iterative Testing Procedure to Identify the Nature of a Time Series Generating Process
- Toward a computable approach to the efficient market hypothesis: An application of genetic programming
- Jumps beyond the realms of cricket: India's performance in one day internationals and stock market movements
- Dynamical ergodicity DDA reveals causal structure in time series
- Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
- Applications of methods and algorithms of nonlinear dynamics in economics and finance
- Nonparametric specification tests for conditional duration models
- Generating schemes for long memory processes: regimes, aggregation and linearity
- Approximate Entropy as an Irregularity Measure for Financial Data
- Model misspecification tests, model building and predictability in complex systems
- MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH
- High dimensional regression for regenerative time-series: an application to road traffic modeling
- Real-time nowcasting of nominal GDP with structural breaks
- Scenario optimization asset and liability modelling for individual investors
- Clean energy consumption and economic growth in China: a time-varying analysis
- Reconstructing nonlinear structure in regression residuals
- A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges
- A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation
- An information-theoretic approach to study spatial dependencies in small datasets
- Chaos measure dynamics in a multifactor model for financial market predictions
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- scientific article; zbMATH DE number 7578230 (Why is no real title available?)
- Risk reduction for nonlinear prediction and its application to the surrogate data test
- Analysis of rounded data from dependent sequences
- The correlation dimension of returns with stochastic volatility
- A modified BDS test
- Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
- Causality detection in cortical seizure dynamics using cross-dynamical delay differential analysis
- A non-parametric test for independence based on symbolic dynamics
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
- A versatile and robust metric entropy test of time-reversibility, and other hypotheses
- Identification of binary choice models with social interactions
- A neural network method for nonlinear time series analysis
- Stochastic volatility in interest rates and nonlinearity in velocity
- Testing for serial independence of panel errors
- Network resilience
- Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
- Traffic-flow dynamics: A search for chaos
- Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?
- Asset-asset interactions and clustering in financial markets
- Mixtures of \(t\)-distributions for finance and forecasting
This page was built for publication: A test for independence based on the correlation dimension
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4355133)
