Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
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References listed on IDEAS
- Marc Hallin & Madan Lal Puri, 1995. "A multivariate Wald-Wolfowitz rank test against serial dependence," ULB Institutional Repository 2013/2051, ULB -- Universite Libre de Bruxelles.
- Beran, R. & Bilodeau, M. & Lafaye de Micheaux, P., 2007. "Nonparametric tests of independence between random vectors," Journal of Multivariate Analysis, Elsevier, vol. 98(9), pages 1805-1824, October.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
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- Bücher, Axel & Ruppert, Martin, 2013. "Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 208-229.
- Tian, Shuairu & Hamori, Shigeyuki, 2015. "Modeling interest rate volatility: A Realized GARCH approach," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 158-171.
- Genest, Christian & Nešlehová, Johanna G. & Rémillard, Bruno, 2013. "On the estimation of Spearman’s rho and related tests of independence for possibly discontinuous multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 214-228.
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KeywordsSerial copula; Test of serial independence; Empirical process; Möbius decomposition; Cramér–von Mises statistic; Bootstrap; Permutation;
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