A test for independence based on the correlation dimension

Broock, W. A.; Scheinkman, José A.; Dechert, W. Davis; LeBaron, Blake

doi:10.1080/07474939608800353

Cited by 2,478 publications

(1,462 citation statements)

References 27 publications

Supporting

Mentioning

1,319

Contrasting

Unclassified

Order By: Relevance

“…Por isso, os parâmetros da equação dos dividendos foram consistentemente estimados via Newey-West e a verificação de se os resíduos são de fato i.i.d. pode ser feita através do teste BDS (Brock et al, 1996). A estacionaridade da taxa de desconto foi verificada pelos testes ADF e Phillips-Perron.…”

Section: Análise Dos Resultadosunclassified

Bolhas racionais no índice Bovespa

Nunes¹,

Silva²

2009

Rev. Bras. Econ.

View full text Add to dashboard Cite

Section: Análise Dos Resultadosunclassified

Bolhas racionais no índice Bovespa

Nunes¹,

Silva²

2009

Rev. Bras. Econ.

View full text Add to dashboard Cite

“…Autorzy podkreślili, że jednym z możli-wych podejść jest testowanie szeregu czasowego za pomocą estymatorów entropii i wymiaru w szeregu wyjściowym oraz w szeregu reszt z modelu liniowego w połączeniu z testem BDS (Brock, Dechert i Scheinkman) (zob. [1], [2], [3]). Można też szacować największy wykładnik Lapunowa i testować jego dodatniość.…”

Section: Przegląd Literaturyunclassified

Fractal features of structures of gas flow in selected gas stations of I order

Gurgul¹,

Suder²

2012

manage

View full text Add to dashboard Cite

“…At the risk of over-simplification, the existence of volatility persistence may be explained by the presence of a serially correlated news arrival process (otherwise known as the "information processing hypothesis" and heterogeneous expectations ( Engle et al, 1990), the pGarofalo and Sansone, 2005;, Gaunersdorfer and Hommes, 2005), the imitative behavior of investors in the stock market (Yamamoto, 2005), the preferences of risk-averse agents in equilibrium asset pricing models (McQueen and Vorkink, 2004) and the belief systems of traders in a stock market (Brock and LeBaron, 1996). For the latter, the authors argue that persistent volatility is caused by traders experimenting with different belief systems based upon past profit experience and their estimates of future profit experience.…”

Section: Persistencementioning

confidence: 99%

Examining the Existence of Long-Run Relationships Between East Asian Economic Integration and ASEAN Tourism Exports

Yap

2010

SSRN Journal

View full text Add to dashboard Cite

This paper examines the volatility dynamics of the greater China stock markets (Shanghai A-and B-shares, Shenzhen A-and B-shares, Taiwan, and Hong Kong) by employing a multivariate (tetravariate) framework that incorporates the features of asymmetries, persistence, and time-varying correlations, which are typically observed in stock markets of developed economies. Our results indicate that, unlike the Shenzhen and Shanghai Ashares, Hong Kong and Taiwan markets, the B-share markets do not exhibit significant asymmetric volatility ("leverage effect"), and return volatility in the A-share market is substantially higher than the B-share market before April 1997, but this result is reversed after that. Also, contrary to the stylized fact that emerging markets exhibit greater fluctuations compared with their more advanced counterparts, the mainland Chinese markets are actually less volatile than the Taiwan and Hong Kong stock exchanges in the late 1990s and early 2000s. In addition, there is strong evidence of volatility persistence in all the markets, and this finding is robust to changes in model specification. The greater China stock markets apparently share a common degree of persistence (fractional integration) in volatility. Moreover, the Shenzhen and Shanghai stock exchanges are positively but not perfectly correlated with each other, with the strength of correlation increasing after the late nineties. Their correlations with the Hong Kong and Taiwan markets are much weaker, and they do not display any clear trends. These findings have important implications for hedging and portfolio management and diversification.3

show abstract

A test for independence based on the correlation dimension

Cited by 2,478 publications

References 27 publications

Bolhas racionais no índice Bovespa

Bolhas racionais no índice Bovespa

Fractal features of structures of gas flow in selected gas stations of I order

Examining the Existence of Long-Run Relationships Between East Asian Economic Integration and ASEAN Tourism Exports

Contact Info

Product

Resources

About