Advanced Search
MyIDEAS: Login to save this paper or follow this series

Detecting Serial Dependence in Tail Events

Contents:

Author Info

  • Cees Diks

    ()
    (CeNDEF, University of Amsterdam)

Abstract

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as remaining ARCH or GARCH type structure in standardized residuals of financial time series. The new test can be implemented easily by slight modification of the standard BDS test, and is also suitable for model identification. The BDS test and the modified version are compared numerically. To enable fair power comparisons, both tests are implemented as exact level Monte Carlo tests, enabling power calculations of the tests at identical actual sizes. The Monte Carlo implementation allows the use of test statistics which are considerably simpler than for the standard BDS test. For all nonlinear stochastic time series models examined the power of the new test is found to be uniformly larger over all practically reasonable values of the bandwidth parameter. The test is illustrated with an empirical application.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://papers.tinbergen.nl/02079.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 02-079/1.

as in new window
Length:
Date of creation: 06 Aug 2002
Date of revision:
Handle: RePEc:dgr:uvatin:20020079

Contact details of provider:
Web page: http://www.tinbergen.nl

Related research

Keywords: Nonparametric tests; Serial dependence; Correlation integral; Monte Carlo tests; Volatility clustering.;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:dgr:uvatin:20020079. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antoine Maartens (+31 626 - 160 892)).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.