@techreport{485994bd977f4bd7af267f0dec0d4053,
title = "A Hybrid Joint Moment Ratio Test for Financial Time Series",
abstract = "We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and the results are presented in a comprehensive wayusing a graphical device. We construct a formal joint testing procedurebased on bootstrapped and block-bootstrapped uniform confidenceintervals. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based onexpert opinions. An application to forex data illustrates theprocedure.",
author = "Groenendijk, {Patrick A.} and Andr{\'e} Lucas and {de Vries}, {Casper G.}",
year = "1998",
language = "English",
series = "Discussion paper TI",
publisher = "Tinbergen Instituut",
number = "98-104/2",
type = "WorkingPaper",
institution = "Tinbergen Instituut",
}