IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v53y2009i12p4516-4529.html
   My bibliography  Save this article

Testing for independence in heavy-tailed time series using the codifference function

Author

Listed:
  • Rosadi, Dedi

Abstract

In this paper, we consider a Portmanteau-type test of randomness for symmetric [alpha] stable random variables with exponent 0

Suggested Citation

  • Rosadi, Dedi, 2009. "Testing for independence in heavy-tailed time series using the codifference function," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4516-4529, October.
    • Handle: RePEc:eee:csdana:v:53:y:2009:i:12:p:4516-4529
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(09)00254-0
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Piotr S. Kokoszka & Murad S. Taqqu, 1994. "Infinite Variance Stable Arma Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(2), pages 203-220, March.
    2. Runde, Ralf, 1997. "The asymptotic null distribution of the Box-Pierce Q-statistic for random variables with infinite variance an application to German stock returns," Journal of Econometrics, Elsevier, vol. 78(2), pages 205-216, June.
    3. Hesse, C. H., 1990. "Rates of convergence for the empirical distribution function and the empirical characteristic function of a broad class of linear processes," Journal of Multivariate Analysis, Elsevier, vol. 35(2), pages 186-202, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chen, Zhanshou & Jin, Zi & Tian, Zheng & Qi, Peiyan, 2012. "Bootstrap testing multiple changes in persistence for a heavy-tailed sequence," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2303-2316.
    2. Karling, Maicon J. & Lopes, Sílvia R.C. & de Souza, Roberto M., 2023. "Multivariate α-stable distributions: VAR(1) processes, measures of dependence and their estimations," Journal of Multivariate Analysis, Elsevier, vol. 195(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, University Library of Munich, Germany, revised 04 Nov 2005.
    2. Runde, Ralf & Scheffner, Axel, 1998. "On the existence of moments: With an application to German stock returns," Technical Reports 1998,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Zacharias Psaradakis & Marián Vávra, 2019. "Portmanteau tests for linearity of stationary time series," Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 248-262, February.
    4. Marco J. Lombardi & Giorgio Calzolari, 2008. "Indirect Estimation of α-Stable Distributions and Processes," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 193-208, March.
    5. Jeong-Ryeol Kurz-Kim & Mico Loretan, 2007. "A note on the coefficient of determination in models with infinite variance variables," International Finance Discussion Papers 895, Board of Governors of the Federal Reserve System (U.S.).
    6. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    7. Dedi Rosadi & Manfred Deistler, 2011. "Estimating the codifference function of linear time series models with infinite variance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 73(3), pages 395-429, May.
    8. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
    9. Kokoszka, Piotr S. & Taqqu, Murad S., 1996. "Infinite variance stable moving averages with long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 79-99, July.
    10. Psaradakis, Zacharias & Vávra, Marián, 2017. "A distance test of normality for a wide class of stationary processes," Econometrics and Statistics, Elsevier, vol. 2(C), pages 50-60.
    11. Christian Hesse, 1995. "Deconvolving a density from contaminated dependent observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(4), pages 645-663, December.
    12. Sampaio, Jhames M. & Morettin, Pedro A., 2020. "Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 67-83.
    13. Kurz-Kim, Jeong-Ryeol & Loretan, Mico, 2014. "On the properties of the coefficient of determination in regression models with infinite variance variables," Journal of Econometrics, Elsevier, vol. 181(1), pages 15-24.
    14. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
    15. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
    16. Krämer, Walter & Runde, Ralf, 1998. "Diagnostic checking in linear processes with infinit variance," Technical Reports 1998,08, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    17. Karling, Maicon J. & Lopes, Sílvia R.C. & de Souza, Roberto M., 2023. "Multivariate α-stable distributions: VAR(1) processes, measures of dependence and their estimations," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    18. Damarackas, Julius & Paulauskas, Vygantas, 2017. "Spectral covariance and limit theorems for random fields with infinite variance," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 156-175.
    19. Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 19-47, November.
    20. Zacharias Psaradakis & Marián Vávra, 2015. "A Quantile-based Test for Symmetry of Weakly Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 587-598, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:53:y:2009:i:12:p:4516-4529. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.