This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations for "A test for independence based on the correlation dimension"

by W. A. Broock & J. A. Scheinkman & W. D. Dechert & B. LeBaron

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Ryuichi YAMAMOTO, 2005. "Evolution with Individual and Social Learning in an Agent-Based Stock Market," Computing in Economics and Finance 2005 228, Society for Computational Economics. [Downloadable!]
  2. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "A New Test for Chaotic Dynamics Using Lyapunov Exponents," Working Papers 2003-09, FEDEA. [Downloadable!]
  3. Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series /2002/434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  4. Stan Hurn, 2004. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings 348, Econometric Society. [Downloadable!]
    Other versions:
  5. Fernando Fernandez-Rodriguez & Simon Sosvilla-Rivero & Maria Dolores Garcia-Artiles, 1997. "Using nearest neighbour predictors to forecast the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 75-91, January. [Downloadable!]
  6. Gabriella Legrenzi & Costas Milas, 2006. "Asymmetric and Non-Linear Adjustments in Local Fiscal Policy," Keele Economics Research Papers KERP 2006/16, Centre for Economic Research, Keele University. [Downloadable!]
    Other versions:
  7. Michael Dueker & Andreas Fischer & Robert Dittmar, 2007. "Stochastic Capital Depreciation and the Co-movement of Hours and Productivity," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 0(3). [Downloadable!]
    Other versions:
  8. David McMillan, 2004. "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003 63, Money Macro and Finance Research Group. [Downloadable!]
  9. Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009. [Downloadable!]
    Other versions:
  10. repec:att:wimass:192042 is not listed on IDEAS
  11. Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society. [Downloadable!]
    Other versions:
  12. Guillén, Osmani Teixeira de Carvalho & Farshid, Vahid & Athanasopoulos, George & Issler, João Victor, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 688, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  13. M. Matilla-GarcÍa & R. Queralt & P. Sanz & F. VÁzquez, 2004. "A Generalized BDS Statistic," Computational Economics, Springer, vol. 24(3), pages 277-300, September. [Downloadable!] (restricted)
  14. Dahl, Christian M. & Nielsen, Steen, 2001. "The Random Walk Of Stock Prices: Implications Of Recent Nonpara-Metric Tests," Working Papers 07-2001, Copenhagen Business School, Department of Economics. [Downloadable!]
  15. Norman Ehrentreich, 2002. "The Santa Fe Artificial Stock Market Re-Examined - Suggested Corrections," Computational Economics 0209001, EconWPA. [Downloadable!]
  16. Cees Diks & Sebastiano Manzan, 2001. "Tests for Serial Independence and Linearity based on Correlation Integrals," Tinbergen Institute Discussion Papers 01-085/1, Tinbergen Institute. [Downloadable!]
    Other versions:
  17. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics. [Downloadable!]
  18. Phil Bodman, . "Output Volatility in Australia," MRG Discussion Paper Series 0106, School of Economics, University of Queensland, Australia. [Downloadable!]
    Other versions:
  19. Theodore Panagiotidis, 2008. "Market Efficiency and the Euro: The case of the Athens Stock exchange," Discussion Paper Series 2008_14, Department of Economics, University of Macedonia, revised Dec 2008. [Downloadable!]
    Other versions:
  20. Ehsan Ahmed & Honggang Li & J. Barkley Rosser, 2006. "Nonlinear bubbles in Chinese Stock Markets in the 1990s," Eastern Economic Journal, Eastern Economic Association, vol. 32(1), pages 1-18, Winter. [Downloadable!]
  21. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society. [Downloadable!]
  22. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Nearest-Neighbour Predictions in Foreign Exchange Markets," Working Papers 2002-05, FEDEA. [Downloadable!]
  23. Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006. [Downloadable!]
  24. repec:att:wimass:1920517 is not listed on IDEAS
  25. R. M. Eldridge & Maurice Peat & Max Stevenson, 2003. "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series 122, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  26. Venus Khim-Sen Liew, 2003. "The Validity of PPP Revisited: An Application of Non-linear Unit Root Test," International Finance 0308001, EconWPA. [Downloadable!]
  27. Costas Milas & Jesus Otero & Theodore Panagiotidis, 2001. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," BORRADORES DE INVESTIGACIÓN 002737, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    Other versions:
  28. William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004. "The Nonlinear Skeletons in the Closet," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200403, University of Kansas, Department of Economics, revised May 2004. [Downloadable!]
    Other versions:
  29. Jorge Belaire-Franch & Dulce Contreras, 2004. "A power comparison among tests for time reversibility," Economics Bulletin, Economics Bulletin, vol. 3(23), pages 1-17. [Downloadable!]
  30. Theodore Panagiotidis & Emilie Rutledge, 2005. "Oil And Gas Markets In The Uk: Evidence For From A Cointegrating Approach," Econometrics 0504004, EconWPA. [Downloadable!]
  31. Evzen Kocenda, 2003. "An Alternative to the BDS Test: Integration Across The Correlation Integral," Econometrics 0301004, EconWPA. [Downloadable!]
    Other versions:
  32. Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics. [Downloadable!]
  33. Theodore Panagiotidis & Gianluigi Pelloni, 2005. "Non-Linearity in the Canadian and US Labour Market: Univariate and Multivariate Evidence from a battery of tests," Discussion Paper Series 2005_8, Department of Economics, Loughborough University, revised Aug 2005. [Downloadable!]
    Other versions:
  34. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2007. "An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics," CoFE Discussion Paper 07-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  35. Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006. "Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models," MPRA Paper 593, University Library of Munich, Germany, revised 07 Oct 2006. [Downloadable!]
  36. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133. [Downloadable!]
  37. Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society. [Downloadable!]
  38. Diks, C.G.H., 2000. "Dimension estimations, stock returns and volatility clustering," CeNDEF Working Papers 00-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  39. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada, . "Exchange-rate forecasts with simultaneous nearest-neighbour methods: Evidence from the EMS," Working Papers 98-17, FEDEA. [Downloadable!]
    Other versions:
  40. Gabriella Legrenzi & Costas Milas, 2004. "Non-linear adjustments in fiscal policy," City University Economics Discussion Papers 04/06, Department of Economics, City University, London. [Downloadable!]
    Other versions:
  41. Gomes, Fábio Augusto Reis & Issler, João Victor, 2009. "Testing the Optimality of Aggregate Consumption Decisions: Is there Rule-of-Thumb Behavior?," Economics Working Papers (Ensaios Economicos da EPGE) 682, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  42. William A. Barnett & Melvin J. Hinich & Piyu Yue, . "The Exact Theoretical Rational Expectations Monetary Aggregate," Macroeconomics 0003004, EconWPA. [Downloadable!]
    Other versions:
  43. Marcelle Chauvet & Simon Potter, 1999. "Nonlinear risk," Staff Reports 61, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  44. Theo Panagiotidis & Mark J Holmes, 2005. "Sustainability and Asymmetric Adjustment: Some New Evidence Concerning Behaviour of the US Current Account," Money Macro and Finance (MMF) Research Group Conference 2005 29, Money Macro and Finance Research Group. [Downloadable!]
  45. Oscar Bajo-Rubio & Simón Sosvilla-Rivero & Fernando Fernández-Rodríguez, . "Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series," Working Papers 2002-01, FEDEA. [Downloadable!]
  46. Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," MPRA Paper 10150, University Library of Munich, Germany, revised 06 Aug 2008. [Downloadable!]
    Other versions:
  47. Matilla-García, M. & Rodríguez Ruiz, J., 2005. "Aplicabilidad del test BDS al análisis de series económicas/Aplicadility of las test to economic time series analysis," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 507-519, Agosto. [Downloadable!] (restricted)
  48. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics," CoFE Discussion Paper 06-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  49. Theodore Panagiotidis & Emilie Rutledge, 2004. "Oil and gas market in the UK: evidence from a cointegration approach," Discussion Paper Series 2004_18, Department of Economics, Loughborough University, revised Nov 2004. [Downloadable!]
  50. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research. [Downloadable!]
  51. Robert Breunig & Alison Stegman, 2003. "Testing for Regime Switching in Singaporean Business Cycles," Departmental Working Papers 2003-20, Australian National University, Economics RSPAS. [Downloadable!]
    Other versions:
  52. Harm Bandholz & Michael Funke, 2003. "In Search of Leading Indicators of Economic Activity in Germany," Quantitative Macroeconomics Working Papers 20307, Hamburg University, Department of Economics. [Downloadable!]
    Other versions:
  53. Diks, C.G.H., 2002. "Detecting serial dependence in tail events: A test dual to BDS test," CeNDEF Working Papers 02-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  54. Jorge Belaire-Franch & Dulce Contreras, 2002. "How to compute the BDS test: a software comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 691-699. [Downloadable!]
  55. Diks, C.G.H. & Panchenko, V., 2006. "Rank-based entropy tests for serial independence," CeNDEF Working Papers 06-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  56. Benbouziane, Mohamed & Benamar, abdelhak, 2006. "The Purchasing Power Parity in The Maghreb Countries : A Nonlinear Perspective," MPRA Paper 13853, University Library of Munich, Germany, revised 2007. [Downloadable!]
  57. Bruce Mizrach, 2004. "A Video Interview of Buz Brock," Departmental Working Papers 200417, Rutgers University, Department of Economics. [Downloadable!]
  58. Óscar Bajo Rubio & Simón Sosvilla Rivero & Fernando Fernández Rodríguez, 2000. "Asymmetry In The Ems: New Evidence Based On Non-Linear Forecasts," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 0001, Departamento de Economía - Universidad Pública de Navarra. [Downloadable!]
    Other versions:
  59. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, EconWPA, revised 09 Dec 2004. [Downloadable!]
  60. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88. [Downloadable!]
  61. Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003. "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance 0308001, EconWPA. [Downloadable!]
  62. Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group. [Downloadable!]
  63. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society. [Downloadable!]
  64. Bekiros, S. & Diks, C.G.H., 2007. "The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing," CeNDEF Working Papers 07-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    Other versions:
  65. Arielle Beyaert, Juan J. P rez-Castej, 2000. "Switching regime models in the Spanish inter-bank market," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 93-112, June. [Downloadable!] (restricted)
  66. Cars Hommes & Sebastiano Manzan, 2006. "Testing for Nonlinear Structure and Chaos in Economic Time. A Comment," Tinbergen Institute Discussion Papers 06-030/1, Tinbergen Institute. [Downloadable!]
  67. Ibrahim Onour, . "North Africa Stock Markets: Analysis of Unit Root and Long Memory Process," API-Working Paper Series 0906, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
  68. Vitaliy Vandrovych, 2005. "Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?," Computing in Economics and Finance 2005 234, Society for Computational Economics. [Downloadable!]
  69. Amilon, Henrik & Byström, Hans, 1998. "The Search for Chaos and Nonlinearities in Swedish Stock Index Returns," Working Papers 1998:6, Lund University, Department of Economics. [Downloadable!]
  70. Giacomini, Raffaella & Gottschling, Andreas & Haefke, Christian & White, Halbert, 2007. "Mixtures of t-distributions for Finance and Forecasting," Economics Series 216, Institute for Advanced Studies. [Downloadable!]
    Other versions:
  71. Manfred M. Fischer & Wolfgang Koller, 2001. "Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate," ERSA conference papers ersa01p233, European Regional Science Association. [Downloadable!]
  72. Pandey Ajay, 2003. "Modeling and Forecasting Volatility in Indian Capital Markets," IIMA Working Papers 2003-08-03, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
  73. Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2008. "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," CREATES Research Papers 2008-19, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  74. Kian-Ping Lim & Venus Khim-Sen Liew, 2003. "Testing for Non-Linearity in ASEAN Financial Markets," Finance 0308002, EconWPA. [Downloadable!]
Did you know? A few items listed on IDEAS are over 2000 years old!

This page was last updated on 2009-12-10.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.