Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/62810 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
Working Paper No. 528
Verlag: 
Queen Mary University of London, Department of Economics, London
Zusammenfassung: 
This paper constructs tests for the presence of nonlinearity of unknown form in addition to a fractionally integrated, long memory component in a time series process. The tests are based on artificial neural network structures and do not restrict the parametric form of the nonlinearity. The tests only require a consistent estimate of the long memory parameter. Some theoretical results for the new tests are obtained and detailed simulation evidence is also presented on the power of the tests. The new methodology is then applied to a wide variety of economic and financial time series.
Schlagwörter: 
Long memory, Non-linearity, Artificial neural networks, Realized volatility, Absolute returns, Real exchange rates, Unemployment
JEL: 
C22
C12
F31
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
347.67 kB





Publikationen in EconStor sind urheberrechtlich geschützt.