Nonlinear Spectral Analysis: A Local Gaussian Approach

DOI10.1080/01621459.2020.1840991MaRDI QIDQ5885124

Dag Tjøstheim, Lars Arne Jordanger

Publication date: 27 March 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.02166

zbMATH Keywords

GARCH models; graphical tools; local periodicities

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

Related Items

Some recent trends in embeddings of time series and dynamic networks

Uses Software

• localgauss
• quantilogram

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• The quantilogram: with an application to evaluating directional predictability
• Local Gaussian correlation: a new measure of dependence
• The extremogram: a correlogram for extreme events
• Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
• An introduction to copulas.
• Brownian distance covariance
• A robust periodogram for high-resolution spectral analysis
• On conditional least squares estimation for stochastic processes
• Locally parametric nonparametric density estimation
• Conditional density estimation using the local Gaussian correlation
• The locally Gaussian density estimator for multivariate data
• Generalized autoregressive conditional heteroscedasticity
• The jackknife and the bootstrap for general stationary observations
• Model assessment for time series dynamics using copula spectral densities: a graphical tool
• Recognizing and visualizing copulas: an approach using local Gaussian approximation
• On robust spectral analysis by least absolute deviations
• Local Gaussian Autocorrelation and Tests for Serial Independence
• Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures
• Laplace Periodogram for Time Series Analysis
• Generalized Spectral Tests for Serial Dependence
• Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
• CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH
• A Nonlinear Method for Robust Spectral Analysis
• Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Quantile Periodograms
• Modelling Nonlinear Economic Time Series
• QUANTILE PERIODOGRAM AND TIME‐DEPENDENT VARIANCE