Robust online detection in serially correlated directed network

Robust balanced measurement designs when errors are serially correlated

This paper considers the situation in which some characteristic is to be measured on each of several specimens. For instance, it may be the concentration of lead or arsenic in water or soil samples and a laboratory may routinely analyze samples from different sources. In the measurement process, there may be some serial correlation among measurement errors, but it is hard to detect or to have a...

Realized Variance when Returns are Serially Correlated

Modelling Realized Variance when Returns are Serially Correlated by Roel C. A. Oomen* This article examines the impact of serial correlation in high frequency returns on the realized variance measure. In particular, it is shown that the realized variance measure yields a biased estimate of the conditional return variance when returns are serially correlated. Using 10 years of FTSE-100 minute by...

Identifying Dynamic Games with Serially-Correlated Unobservables

In this paper we consider the nonparametric identification of Markov dynamic games models in which each firm has its own unobserved state variable, which is persistent over time. This class of models includes most models in the Ericson and Pakes (1995) and Pakes and McGuire (1994) framework. We provide conditions under which the joint Markov equilibrium process of the firms’ observed and unobse...

Testing Dependence Among Serially Correlated Multicategory Variables

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Standard tests assume, however, that draws are independent and only limited results exist on the e¤ect of serial dependency a problem that is important in areas such as economics, …nance, medical trials and meteorology. This paper proposes new tests of independence based on canonical c...

Informational Rents in Bargaining with Serially Correlated Valuations