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Nonparametric Test for Volatility in Clustered Multiple Time Series
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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10019410/ https://www.ncbi.nlm.nih.gov/pubmed/37362596 http://dx.doi.org/10.1007/s10614-023-10362-x |