Testing for Time Dependence
Testing extreme dependence in financial time series
... Extreme Dependence in Financial Time Series 1 Abstract Financial interdependence indicates a process through which transmission of shock originat- ing in the financial market of one economy spreads to ...
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Testing for Dependence in Non-Gaussian Time Series Data
... In an extension of the approach adopted in Cox (1983) and McCabe and Leybourne (2000), the methodology is based on an approximate likelihood function, whereby the expectation of the distribution of the data, conditional ...
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Testing for Dependence in Non-Gaussian Time Series Data
... In an extension of the approach adopted in Cox (1983) and McCabe and Leybourne (2000), the methodology is based on an approximate likelihood function, whereby the expectation of the distribution of the data, conditional ...
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Specification Testing in Nonlinear Time Series with Long-Range Dependence
... dependent time series as discussed in Fox and Taqqu (1987), Avram (1988), Giraitis and Surgailis (1990), Giraitis and Taqqu (1997), Ho and Hsing (1996, 1997, 2003), Gao and King (2004), Hsing and Wu (2004), Gao ...
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The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
... most time series used as predictors are highly ...stationary time series, we do not consider these ...persistent time series will be interesting and ...
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The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
... Our paper addresses three outstanding issues with regard to the quantilogram. First, the construction of confidence intervals that are valid under general dependence structures. Linton and Whang (2007) derived the ...
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Testing for Non Linear Dependence in Univariate Time Series An Empirical Investigation of the Austrian Unemployment Rate
... linear time series models must be ...non-linear time series models must be ...univariate time series more adequately, a larger task meets us in attempting to decide which of several test procedures ...
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Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate
... univariate time series more adequately, a larger task meets us in attempting to decide which of several test proce- dures for detecting non-linearities, in fact, should be ...univariate time series ...the ...
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Testing for Cross Sectional Dependence in a RandomEffects Model
... sectional dependence assuming the presence of random individual effect only (while ignoring the presence of time effects; and H 0 c : 0 e 2 0; 2 0; v 2 0 which tests for cross-sectional ...
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Testing for Jumps and Jump Intensity Path Dependence
... …nite time span have already been examined in the literature in order to: detect realized jumps, as in Jacod (2012); study the contribution of realized skewness when predicting the cross-section of equity returns, ...
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Dealing with long-time range dependence in large-scale multiple testing of Event-Related Potentials data
... Keywords. Dependence, ERP data, High-dimensional data, Multiple ...the time course of mental processes, whereas the latter implicates spatial areas in the brain that might be responsible for experimental ...
Testing for change in stochastic volatility with long range dependence
... long-range dependence. An- other characteristic of financial time series is the existence of heavy tails in the sense that the marginal tail distribution behaves like a regularly varying ...
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Testing for structural breaks via ordinal pattern dependence
... pattern dependence has been ...that dependence of this kind appears in real-world financial ...pattern dependence, and we derive their asymptotic ...the dependence struc- ...pattern ...
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Testing The Order of Markov Dependence in Error Data of IEEE802.11a Standard
... computation time increases linearly with the length of the sequence, samples are chosen uniformly from the set of all available surrogate sequences and any order can be ...the time that a very small p-value ...
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Testing for state dependence in binary panel data with individual covariates
... state dependence proposed in this paper by means of a comprehensive Monte Carlo experiment in which we also compare it with the test proposed by Halliday ...of time-varying covariates in testing for ...
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Testing for state dependence in binary panel data with individual covariates
... state dependence proposed in this paper by means of a comprehensive Monte Carlo experiment in which we also compare it with the test proposed by Halliday ...of time-varying covariates in testing for ...
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Copula-Based Dependence Characterizations and Modeling for Time Series
... other dependence measures ...serial dependence in time ...in testing for conditional independence and ...and dependence modeling in finance and risk manage- ment is the one based on ...
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Compiling for Parallelism & Locality. Dependence Testing in General. Algorithms for Solving the Dependence Problem. Dependence Testing
... – A direction vector serves the same purpose as a distance vector when less precision is required or available – Element i of a direction vector is <, >, or = based on whether the source of the dependence ...
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Testing Asymmetry in Dependence with Copula-Coskewness
... in dependence by looking at differences in the coskewness of standardized bivariate random ...fast testing of the null hypothesis of symmetric ...in dependence being due to a causal relation between ...
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Testing asymmetry in dependence with copula-coskewness
... 3.1. Hydrology. Consider a simple river system consisting of a main river and a trib- utary. We are interested in the bivariate dependence between flood events on the main river occurring upstream (X) and ...
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