Showing 1 - 10 of 21
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power …, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to … short paper presents a fast algorithm for the BDS statistic, and outlines how these speed improvements are achieved. Source …
Persistent link: https://www.econbiz.de/10005751410
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10004966222
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10005584891
and forecast. In this paper, a series of tests for nonlinearity and chaos in exchange rates is conducted using the daily … data on the market rates in Iran for the period 1991-2005. The tests for nonlinearity are BDS and ANN tests, and the tests … for chaos are autocorrelation and Lyapunov exponents. The tests results suggest that the exchange rates and their rates of …
Persistent link: https://www.econbiz.de/10010695806
This paper analyses the nonlinear dynamic behaviour of intraday returns in the Eurostoxx50 cash and futures index which, given their relatively recent appearance, have not yet been analysed. We find that both return series show nonlinear individual dynamics that cannot exclusively be explained...
Persistent link: https://www.econbiz.de/10004966109
from an individual and from a combined approach. The results of the BDS test indicate that the variables are not iid and … el estudio tanto desde la perspectiva individual como conjunta. Los resultados del contraste BDS indican que las …
Persistent link: https://www.econbiz.de/10005115607
This paper analyses the nonlinear dynamic behaviour of intraday returns in the Eurostoxx50 cash and futures index which, given their relatively recent appearance, have not yet been analysed. We find that both return series show nonlinear individual dynamics that cannot exclusively be explained...
Persistent link: https://www.econbiz.de/10005579862
Persistent link: https://www.econbiz.de/10010340239
The BDS test is the best-known correlation integral–based test, and it is now an important part of most standard … correctly sized estimation of the BDS statistic. Department of Economics, Oxford University, Oxford, <CitationRef CitationID …>. In practice, researchers usually compute the BDS statistic for different values of <InlineEquation ID="IEq4 …
Persistent link: https://www.econbiz.de/10010993494
El test BDS de Brock, Dechert y Scheinkman es un test asintótico que proporciona una herramienta no paramétrica para … lineales, estocásticas o deterministas). Una versión del BDS ha sido implementada en E-views, motivo por el que la herramienta … nuevas, son expuestas y analizadas ofreciendo explicaciones cuando esto es posible. The BDS test (Brock, Dechert and …
Persistent link: https://www.econbiz.de/10005737020