Extended residual coherence with a financial application

نویسندگان

چکیده

Abstract Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of single time series and its lags. This paper extends the notion residual to account multiple series. Moreover, an alternative criterion, integrated spectrum, proposed facilitate this selection. A financial market application shows that new insights can be gained regarding implied volatility.

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ژورنال

عنوان ژورنال: Statistics in Transition New Series

سال: 2021

ISSN: ['1234-7655', '2450-0291']

DOI: https://doi.org/10.21307/stattrans-2021-014