Many regression-estimation techniques have been extended to cover the case of dependent observations. The majority of such techniques are developed from the classical least squares, M and GM approaches and their properties have been investigated both on theoretical and empirical grounds....

Surrogate data analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account properly for the rich structures observed in stock return sequences, attributed to the presence of heteroscedasticity,...