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Nonparametric Test for Volatility in Clustered Multiple Time Series

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Bibliographic Details
Main Authors: Erniel B., Barrios, Paolo Victor T., Redondo
Format: Book
Language:English
Published: Springer 2023
Subjects:
Volatility in Clustered Multiple Time Series
Online Access:https://link.springer.com/article/10.1007/s10614-023-10362-x
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7831
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spelling oai:localhost:PNK-78312023-04-12T07:38:45Z Nonparametric Test for Volatility in Clustered Multiple Time Series Erniel B., Barrios Paolo Victor T., Redondo Volatility in Clustered Multiple Time Series CC BY Contagion arising from clustering of multiple time series like those in the stock market indicators can further complicate the nature of volatility, rendering a parametric test (relying on asymptotic distribution) to suffer from issues on size and power. We propose a test on volatility based on the bootstrap method for multiple time series, intended to account for possible presence of contagion effect. While the test is fairly robust to distributional assumptions, it depends on the nature of volatility. The test is correctly sized even in cases where the time series are almost nonstationary 2023-04-12T07:38:44Z 2023-04-12T07:38:44Z 2023 Book https://link.springer.com/article/10.1007/s10614-023-10362-x https://dlib.phenikaa-uni.edu.vn/handle/PNK/7831 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic Volatility in Clustered Multiple Time Series
spellingShingle Volatility in Clustered Multiple Time Series
Erniel B., Barrios
Paolo Victor T., Redondo
Nonparametric Test for Volatility in Clustered Multiple Time Series
description CC BY
format Book
author Erniel B., Barrios
Paolo Victor T., Redondo
author_facet Erniel B., Barrios
Paolo Victor T., Redondo
author_sort Erniel B., Barrios
title Nonparametric Test for Volatility in Clustered Multiple Time Series
title_short Nonparametric Test for Volatility in Clustered Multiple Time Series
title_full Nonparametric Test for Volatility in Clustered Multiple Time Series
title_fullStr Nonparametric Test for Volatility in Clustered Multiple Time Series
title_full_unstemmed Nonparametric Test for Volatility in Clustered Multiple Time Series
title_sort nonparametric test for volatility in clustered multiple time series
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s10614-023-10362-x
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7831
_version_ 1762999679704891392
score 8.889492

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