Wild bootstrap Ljung–Box test for cross correlations of multivariate time series

Taewook Lee

Economics Letters, 2016, vol. 147, issue C, 59-62

Abstract: In the literature, the conventional Ljung–Box test for financial time series with ARCH effect (also known as conditional heteroscedasticity) is well-known to suffer from severe size distortions. The objective of this paper is to develop a wild bootstrap-based Ljung–Box test for cross correlations in mean of multivariate time series. According to our simulation study, the wild bootstrap-based Ljung–Box test succeeds to achieve correct sizes and comparable powers in the presence of ARCH effect.

Keywords: CCC-GARCH; Cross correlation; Ljung–Box test; Multivariate time series; VAR; Wild bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C15 C4 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:147:y:2016:i:c:p:59-62

DOI: 10.1016/j.econlet.2016.08.015

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