Detecting serial dependence in tail events: A test dual to the BDS test

Economics Letters

Volumn 79, Issue 3, 2003, Pages 319-324

  Diks, Cees ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Correlation integral; Monte Carlo tests; Serial dependence; Volatility clustering

Indexed keywords

EID: 0037410525     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(03)00023-5     Document Type: Article

References (7)

1. Brock W.A.Dechert W.D.Scheinkman J.A.LeBaron B.A test for independence based on the correlation dimension Econometrics Review 153 1996 197-235
2. Brock W.A.Hsieh D.LeBaron B. Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Ecnomic Evidence 1991 MIT PressCambridge MA
3. Davidson R.MacKinnon J.G.The size distortion of bootstrap tests International Economic Review 40 1999 487-508
4. Diks C.Tong H.A test for symmetries of multivariate probability distributions Biometrika 86 1999 605-614
5. Engle R.F.Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation Econometrica 50 1982 987-1007
6. He Z.Koichi M.On spurious granger causality Economics Letters 73 2001 307-313
7. Tsay R.Nonlinearity tests for time series Biometrika 72 1986 461-466