Testing for a difference between conditional variance functions of nonlinear time series

• Autorzy: Ćwik J. , Koronacki J. , Mielniczuk J.
• Języki publikacji: EN

Abstrakty

EN

In this report, the problem of testing for a difference between conditional variance fnuctions (or volatilites) of two independent nonlinear time series is investigated by means of an extensive simulation study. Empirical results on the properties of the test proposed confirm the test's validity, at least for some types of heteroscedasticity as contrasted with homnoscedastic erroos as well as for some types of differences in heteooscedasticity. Moreover, interesting properties of several estimators of conditional mean, variance and fourth moment functions are empirically found too.

Słowa kluczowe

EN

conditional variance; homogeneity test for conditional variances; nonlinear time series; nonparametric autoregression; volatility

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2000
• Tom: Vol. 29, no 1
• Strony: 33--50
• Opis fizyczny: Bibliogr. 13 poz.,

Twórcy

autor

Ćwik J.

autor

Koronacki J.

autor

Mielniczuk J.

• Institute of Computer Science, Polish Academy of Sciences, Ordona 21, 01-237 Warsaw, Poland