Hong, Yongmiao - In: Annals of Economics and Finance 2 (2001) 1, pp. 123-164
empirical characteristic function. Unlike the tests based on the cross-correlation function (e.g. Haugh, 1976; Hong, 1996; Koch …-correlation. By differentiating the empirical characteristic function at the origin, the present approach yields a modified version of … differentiating the empirical characteristic function properly. A simulation study compares the new test with those of Haugh (1976 …