Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/236826 
Year of Publication: 
2021
Citation: 
[Journal:] Statistics in Transition New Series [ISSN:] 2450-0291 [Volume:] 22 [Issue:] 2 [Publisher:] Exeley [Place:] New York [Year:] 2021 [Pages:] 1-14
Publisher: 
Exeley, New York
Abstract: 
Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of a single time series and its lags. This paper extends the notion of residual coherence to account for interaction terms of multiple time series. Moreover, an alternative criterion, integrated spectrum, is proposed to facilitate this graphical selection. A financial market application shows that new insights can be gained regarding implied market volatility.
Subjects: 
interaction
residual coherence
nonlinear
time series
volatility index
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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