Caporale, GM; Ntantamis, C; Pantelidis, T; Pittis, N - 2004
In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when appliedto the logarithm of the … timeheterogeneity properties. By means of Monte Carlo simulations, we show that the BDS test statistic stillapproximates the standard …