- Author
- Zhang Xuze (Department of Mathematics and Institute for Systems Research, University of Maryland, College Park, USA), Kedem Benjamin (Department of Mathematics and Institute for Systems Research, University of Maryland, College Park. USA)
- Title
- Extended Residual Coherence with a Financial Application
- Source
- Statistics in Transition, 2021, vol. 22, nr 2, s. 1 - 14, tab., wykr., bibliogr. 18 poz.
- Keyword
- Finanse, Szeregi czasowe, Zmienność, Rynki finansowe, Analiza rynku
Finance, Time-series, Variability, Financial markets, Market analysis - Note
- summ.
- Abstract
- Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of a single time series and its lags. This paper extends the notion of residual coherence to account for interaction terms of multiple time series. Moreover, an alternative criterion, integrated spectrum, is proposed to facilitate this graphical selection. A financial market application shows that new insights can be gained regarding implied market volatility.(original abstract)
- Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice - Full text
- Show
- Bibliography
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- Cited by
- ISSN
- 1234-7655
- Language
- eng
- URI / DOI
- http://dx.doi.org/0.21307/stattrans-2021-014