- Autor
- 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)
- Tytuł
- Extended Residual Coherence with a Financial Application
- Źródło
- Statistics in Transition, 2021, vol. 22, nr 2, s. 1 - 14, tab., wykr., bibliogr. 18 poz.
- Słowa kluczowe
- Finanse, Szeregi czasowe, Zmienność, Rynki finansowe, Analiza rynku
Finance, Time-series, Variability, Financial markets, Market analysis - Uwagi
- summ.
- Abstrakt
- 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)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach - Pełny tekst
- Pokaż
- Bibliografia
-
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- Cytowane przez
- ISSN
- 1234-7655
- Język
- eng
- URI / DOI
- http://dx.doi.org/0.21307/stattrans-2021-014
