Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85565
Authors: 
Groenendijk, Patrick A.
Lucas, André
de Vries, Casper G.
Year of Publication: 
1998
Series/Report no.: 
Tinbergen Institute Discussion Paper 98-104/2
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.
Document Type: 
Working Paper

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