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Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes

Matilla-García, Mariano; Ruiz Marín, Manuel; Dore, … - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 1, pp. 181-193

Persistent link: https://www.econbiz.de/10010340239

Nonparametric correlation integral–based tests for linear and nonlinear stochastic processes

Matilla-García, Mariano; Marín, Manuel Ruiz; Dore, … - In: Decisions in Economics and Finance 37 (2014) 1, pp. 181-193

The BDS test is the best-known correlation integral–based test, and it is now an important part of most standard … correctly sized estimation of the BDS statistic. Department of Economics, Oxford University, Oxford, <CitationRef CitationID …>. In practice, researchers usually compute the BDS statistic for different values of <InlineEquation ID="IEq4 …

Persistent link: https://www.econbiz.de/10010993494

Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets

Robles-Fernandez, M. Dolores; Nieto, Luisa; Fernandez, … - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 4, pp. 1106-1106

This paper analyses the nonlinear dynamic behaviour of intraday returns in the Eurostoxx50 cash and futures index which, given their relatively recent appearance, have not yet been analysed. We find that both return series show nonlinear individual dynamics that cannot exclusively be explained...

Persistent link: https://www.econbiz.de/10005579862

Linear and Nonlinear Intraday Dynamics between the Eurostoxx-50

Robles Fernandez, M. Dolores; Nieto, Luisa; Fernández, … - Facultad de Ciencias Económicas y Empresariales, … - 2002

from an individual and from a combined approach. The results of the BDS test indicate that the variables are not iid and … el estudio tanto desde la perspectiva individual como conjunta. Los resultados del contraste BDS indican que las …

Persistent link: https://www.econbiz.de/10005115607