Abstract
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities to obtain a test more suitable for detecting structure in standardized residuals of financial time series. The new test can be implemented easily by slight modification of the standard BDS test, and is also suitable for model identification. For all non-linear stochastic time series models examined the new test has increased power.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.