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A Note on the Distribution of BDS Statistics for a Real Exchange Rate Series

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  • Chappell, David
  • Padmore, Joanne
  • Ellis, Catherine
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    Bibliographic Info

    Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

    Volume (Year): 58 (1996)
    Issue (Month): 3 (August)
    Pages: 561-65

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    Handle: RePEc:bla:obuest:v:58:y:1996:i:3:p:561-65

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    Cited by:
    1. Jorge Pérez-Rodríguez & Julián Andrada-Félix, 2013. "Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples," Computational Statistics, Springer, vol. 28(2), pages 701-734, April.
    2. Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers wp235, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
    3. Maria Aguirre & Reza Saidi, 2000. "Volatility behavior of exchange rate future contracts," Atlantic Economic Journal, International Atlantic Economic Society, vol. 28(4), pages 396-411, December.
    4. Fernandes, Marcelo & Preumont, Pierre-Yves, 2014. "The finite-sample size of the BDS test for GARCH standardized residuals," Textos para discussão 361, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

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