Narrow search
Showing 1 - 10 of 33,136
Cover Image
A time-domain test for some types of nonlinearity
Barnett, A. G.; Wolff, R. C. - 2005
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 …
Persistent link: https://www.econbiz.de/10009447971
Cover Image
A time-domain test for some types of non-linearity
Barnett, Adrian G.; Wolff, Rodney C. - 2005
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 …
Persistent link: https://www.econbiz.de/10009483419
Cover Image
A Time-Domain Test for Some Types of Non-Linearity
Barnett, Adrian G; Wolff, Rodney - School of Economics and Finance, Business School - 2003
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 …
Persistent link: https://www.econbiz.de/10005766388
Cover Image
Higher-order accurate polyspectral estimation with flat-top lag-windows
Berg, Arthur; Politis, Dimitris - In: Annals of the Institute of Statistical Mathematics 61 (2009) 2, pp. 477-498
Persistent link: https://www.econbiz.de/10004999529
Cover Image
Some Bootstrap Tests for Non-linearity and Long Memory in Financial Time Series
Wolff, Rodney C; Barnett, Adrian G - Econometric Society - 2004
-smoothing and discarding pertinent information. In this presentation, we present some bootstrap tests for non-linearity in a time … of the time series of interest, and its bispectrum, being the Fourier transform of the third-order moment. As a by …
Persistent link: https://www.econbiz.de/10005702559
Cover Image
Copula modelling to analyse financial data
Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11
Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of specific interest to economic and financial modelling...
Persistent link: https://www.econbiz.de/10013161689
Cover Image
Asian stock markets analysis : the new evidence from time-varying coefficient autoregressive model
Napon Hongsakulvasu; Asama Liammukda - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 9, pp. 95-104
Persistent link: https://www.econbiz.de/10012670785
Cover Image
An econometric analysis of world GDP share of India during 1960-2015
Bhowmik, Debesh - In: SocioEconomic challenges : SEC 2 (2018) 1, pp. 40-55
Persistent link: https://www.econbiz.de/10011884906
Cover Image
Spectral Analysis of Non-Stationary Time Series
NACHANE, D M - eSocialSciences - 2010
The aim of this paper is to take stock of the important recent contributions to spectral analysis, especially as they apply to non-stationary processes. Non-stationary processes are particularly relevant in the empirical sciences where most phenomena exhibit pronounced departures from stationary.
Persistent link: https://www.econbiz.de/10008725991
Cover Image
Non linear models and the load of an electricity distributor
Simões, Mário Domingues de Paula; Klotzle, Marcelo Cabus - In: International journal of energy sector management : IJESM 9 (2015) 1, pp. 38-56
Persistent link: https://www.econbiz.de/10011305165