Testing for a difference between conditional variance functions of nonlinear time series

J. Ćwik , Jan Mielniczuk , Jacek Koronacki

Abstract

In this report, the problem of testing for a difference between conditional variance functions (or volatilities) of two independent nonlinear time series is investigated by means of an extensive simulation study. Empirical results on the properties of the test proposed confirm the test’s validity, at least for some types of heteroscedasticity as contrasted with homoscedastic errors as well as for some types of differences in heteroscedasticity. Moreover, interesting properties of several estimators of conditional mean, variance and fourth moment functions are empirically found, too.
Author J. Ćwik
J. Ćwik,,
-
, Jan Mielniczuk (FMIS / DSPFM) - [Instytut Podstaw Informatyki Polskiej Akademii Nauk (IPI PAN) [Polish Academy of Sciences (PAN)]]
Jan Mielniczuk,,
- Department of Stochastic Processes and Financial Mathematics
- Instytut Podstaw Informatyki Polskiej Akademii Nauk
, Jacek Koronacki
Jacek Koronacki,,
-
Journal seriesControl and Cybernetics, [CONTROL AND CYBERNETICS], ISSN 0324-8569, [0484-8569]
Issue year2000
Vol29
No1
Pages32-50
Publication size in sheets0.9
ASJC Classification2207 Control and Systems Engineering; 2604 Applied Mathematics; 2611 Modelling and Simulation
URL https://www.researchgate.net/publication/268315923_Testing_for_a_difference_between_conditional_variance_functions_of_nonlinear_time_series
Languageen angielski
Score (nominal)20
Score sourcejournalList
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2000 = 0.604; WoS Impact Factor: 2006 = 0.202 (2) - 2007=0.513 (5)
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