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 language | English |
|---|---|
| Place of Publication | Amsterdam |
| Publisher | Tinbergen Instituut |
| Publication status | Published - 1998 |
Publication series
| Name | Discussion paper TI |
|---|---|
| No. | 98-104/2 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
-
SDG 10 Reduced Inequalities
Fingerprint
Dive into the research topics of 'A Hybrid Joint Moment Ratio Test for Financial Time Series'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver