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A Note on the Distribution of BDS Statistics for a Real Exchange Rate Series

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  • Chappell, David
  • Padmore, Joanne
  • Ellis, Catherine

Abstract

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Suggested Citation

  • Chappell, David & Padmore, Joanne & Ellis, Catherine, 1996. "A Note on the Distribution of BDS Statistics for a Real Exchange Rate Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 561-565, August.
    • Handle: RePEc:bla:obuest:v:58:y:1996:i:3:p:561-65
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    Cited by:

    1. Jorge Pérez-Rodríguez & Julián Andrada-Félix, 2013. "Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples," Computational Statistics, Springer, vol. 28(2), pages 701-734, April.
    2. Evzen Kocenda & Lubos Briatka, 2005. "Optimal Range for the iid Test Based on Integration Across the Correlation Integral," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 265-296.
    3. Fernandes, Marcelo & Preumont, Pierre-Yves, 2012. "The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 32(2), April.
    4. Maria Aguirre & Reza Saidi, 2000. "Volatility behavior of exchange rate future contracts," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 28(4), pages 396-411, December.

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