Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application
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More about this item
Keywordsextremal dependence; white-noise; volatility spillover; near-epoch-dependence; regular variation; infinite variance; portmanteau test; exchange rates.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-11-22 (All new papers)
- NEP-ECM-2004-11-22 (Econometrics)
- NEP-ETS-2004-11-22 (Econometric Time Series)
- NEP-FIN-2004-11-22 (Finance)
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