A Hybrid Joint Moment Ratio Test for Financial Time Series

Patrick A. Groenendijk, André Lucas, Casper G. de Vries

Research output: Working paperProfessional

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.
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut
Publication statusPublished - 1998

Publication series

NameDiscussion paper TI
No.98-104/2

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Groenendijk, P. A., Lucas, A., & de Vries, C. G. (1998). A Hybrid Joint Moment Ratio Test for Financial Time Series. (Discussion paper TI; No. 98-104/2). Amsterdam: Tinbergen Instituut.