Multi-scale tests for serial correlation
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DOI: 10.1016/j.jeconom.2014.08.002
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More about this item
Keywords
Serial correlation; Wavelets; Independence; Discrete wavelet transformation; Maximum overlap wavelet transformation; Variance ratio test; Variance decomposition;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
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