mutual information is estimated using the correlation integral from chaos theory. The signi[tanceof the test statistics is … determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …

actual sizes. The Monte Carlo implementation allows the use of test statistics which are considerably simpler than for the …

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 …

outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the …Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for … forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

. The asymptotic properties of the test are provided and a bootstrap based finite sample version of the test is suggested …