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- W1674428169 abstract "We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and the results are presented in a comprehensive wayusing a graphical device. We construct a formal joint testing procedurebased on bootstrapped and block-bootstrapped uniform confidenceintervals. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based onexpert opinions. An application to forex data illustrates theprocedure." @default.
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- W1674428169 date "1998-09-28" @default.
- W1674428169 modified "2023-09-28" @default.
- W1674428169 title "A Hybrid Joint Moment Ratio Test for Financial Time Series" @default.
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