This paper tests for nonlinearity in EMS exchange rates using the bispectrum. The early experience of the ERM witnessed …

This paper tests for nonlinearity in EMS exchange rates using the bispectrum. The early experience of the ERM witnessed …

The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in … stationary time series. This is because the bispectrum is the Fourier transform of the third-order moment. An advantage of the … bispectrum is that its estimator comprises terms that are asymptotically independent at distinct bifrequencies under the null …

The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in … stationary time series. This is because the bispectrum is the Fourier transform of the third order moment. An advantage of the … bispectrum is that its estimator comprises terms which are asymptotically independent at distinct bifrequencies under the null …

The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in … stationary time series. This is because the bispectrum is the Fourier transform of the third-order moment. An advantage of the … bispectrum is that its estimator comprises terms that are asymptotically independent at distinct bifrequencies under the null …

The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of non …-linearity in stationary time series. This is because the bispectrum is the Fourier transform of the third order moment. An … advantage of the bispectrum is that its estimator comprises terms which are asymptotically independent at distinct bifrequencies …

The method proposed in this chapter is making use of the bispectrum transformation to estimate the level of integration … of a fractionally integrated time series. Bispectrum ransformation transforms the series into a two dimensional frequency … space, and thus has higher information content compared to the Geweke-Porter-Hudak method. The bispectrum method is an …

of the time series of interest, and its bispectrum, being the Fourier transform of the third-order moment. As a by …