Extended residual coherence with a financial application

Xuze Zhang, Benjamin Kedem

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.

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Year of publication:	2021
Authors:	Zhang, Xuze ; Kedem, Benjamin
Published in:	Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland. - Warszawa : GUS, ISSN 2450-0291, ZDB-ID 2235641-1. - Vol. 22.2021, 2, p. 1-14
Subject:	interaction \| residual coherence \| nonlinear \| time series \| volatility index \| Volatilität \| Volatility \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Nichtlineare Regression \| Nonlinear regression \| Stochastischer Prozess \| Stochastic process \| ARCH-Modell \| ARCH model \| Portfolio-Management \| Portfolio selection

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.21307/stattrans-2021-014 [DOI] hdl:10419/236826 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

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