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Some Bootstrap Tests for Non-linearity and Long Memory in Financial Time Series

Listed author(s):
  • Rodney C Wolff
  • Adrian G Barnett
Registered author(s):

    Understanding and forecasting financial time series depend crucially on identifying any non-linearity which may be present. Recent developments in tests for non-linearity very commonly display low power, most likely because of over-smoothing and discarding pertinent information. In this presentation, we present some bootstrap tests for non-linearity in a time series, and explain how it can assist in identifying the form of non-linearity. Our methods are based on higher-order moments of the time series of interest, and its bispectrum, being the Fourier transform of the third-order moment. As a by-product of the proposed tests, we identify signature behaviour of long memory, and discuss this observation particularly in the context of high-frequency econometric measurements.

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    Paper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 350.

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    Date of creation: 11 Aug 2004
    Handle: RePEc:ecm:ausm04:350
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