Optimal Range for the iid Test Based on Integration Across the Correlation Integral
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- 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 - Economics Institute, Prague.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gjika, Dritan & Horváth, Roman, 2013. "Stock market comovements in Central Europe: Evidence from the asymmetric DCC model," Economic Modelling, Elsevier, vol. 33(C), pages 55-64.
- Onour, Ibrahim, 2011. "Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market," MPRA Paper 28001, University Library of Munich, Germany.
- Lubos Briatka, 2006. "How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World," CERGE-EI Working Papers wp308, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Alagidede, Paul & Lange, Ian, 2009. "Variability in coal prices: evidence from the U.S," Stirling Economics Discussion Papers 2009-01, University of Stirling, Division of Economics.
- repec:eee:asieco:v:50:y:2017:i:c:p:62-72 is not listed on IDEAS
More about this item
KeywordsChaos; Correlation integral; High-frequency economic and financial data; Monte Carlo; Nonlinear dynamics; Power tests; Single-blind competition;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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