Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application
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- Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
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More about this item
Keywords
extremal dependence; white-noise; volatility spillover; near-epoch-dependence; regular variation; infinite variance; portmanteau test; exchange rates.;All these keywords.
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-11-22 (Econometrics)
- NEP-ETS-2004-11-22 (Econometric Time Series)
- NEP-FIN-2004-11-22 (Finance)
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