A hybrid joint moment ratio test for financial time series

Patrick A. Groenendijk; André Lucas; Casper G. de Vries

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and the results are presented in a comprehensive wayusing a graphical device. We construct a formal joint testing procedurebased on bootstrapped and block-bootstrapped uniform confidenceintervals. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based onexpert opinions. An application to forex data illustrates theprocedure.

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Year of publication:	1998
Authors:	Groenendijk, Patrick A. ; Lucas, André ; Vries, Casper G. de
Publisher:	Rotterdam [u.a.] : Tinbergen Inst.
Subject:	variance ratios \| absolute returns \| fat-tails \| linear dependence \| volatility clustering \| bootstrap \| forex market eciency \| stable distribution \| Volatilität \| Volatility \| Kapitaleinkommen \| Capital income \| Statistische Verteilung \| Statistical distribution \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| ARCH-Modell \| ARCH model \| Devisenmarkt \| Foreign exchange market \| Bootstrap-Verfahren \| Bootstrap approach

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Extent:	Online-Ressource (42 S.) graph. Darst.
Series:	Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 1998,104
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/85565 [Handle]
Classification:	C14 - Semiparametric and Nonparametric Methods ; F31 - Foreign Exchange ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011299968