A Hybrid Joint Moment Ratio Test for Financial Time Series

Patrick A. Groenendijk (), Andre Lucas () and Casper G. de Vries ()
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Patrick A. Groenendijk: Vrije Universiteit Amsterdam

No 98-104/2, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: We advocate the use of absolute moment ratio statistics in conjunction with standard variance ratio statistics in order to disentangle linear dependence, non-linear dependence, and leptokurtosis in financial time series. Both statistics are computed for multiple return horizons simultaneously, and the results are presented in a comprehensive way using a graphical device. We construct a formal joint testing procedure based on bootstrapped and block-bootstrapped uniform confidence intervals. The methodology is hybrid because it combines a formal testing procedure with volatility curve pattern recognition based on expert opinions. An application to forex data illustrates the procedure.

Date: 1998-09-28
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:uvatin:19980104

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