A Hybrid Joint Moment Ratio Test for Financial Time Series
Patrick A. Groenendijk (),
André Lucas () and
Casper G. de Vries ()
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Patrick A. Groenendijk: Vrije Universiteit Amsterdam
André Lucas: Vrije Universiteit Amsterdam
Casper G. de Vries: Erasmus University Rotterdam
No 98-104/2, Tinbergen Institute Discussion Papers from Tinbergen Institute
We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and the results are presented in a comprehensive wayusing a graphical device. We construct a formal joint testing procedurebased on bootstrapped and block-bootstrapped uniform confidenceintervals. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based onexpert opinions. An application to forex data illustrates theprocedure.
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Persistent link: http://EconPapers.repec.org/RePEc:tin:wpaper:19980104
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