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Activity Number:
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352
- Contributed Poster Presentations: Korean International Statistical Society
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Type:
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Contributed
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Date/Time:
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Tuesday, August 1, 2017 : 10:30 AM to 12:20 PM
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Sponsor:
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Korean International Statistical Society
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Abstract #323667
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Title:
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Wild Bootstrap Ljung-Box Test for Cross Correlations of Multivariate Time Series
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Author(s):
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Tae Wook Lee*
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Companies:
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Hankuk University of Foreign Studies
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Keywords:
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CCC-GARCH ;
Cross correlation ;
Ljung-Box test ;
Multivariate time series ;
VAR ;
Wild bootstrap
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Abstract:
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In the literature, the conventional Ljung-Box test for financial time series with ARCH effect (also known as conditional heteroscedasticity) is well-known to suffer from severe size distortions. The objective of this paper is to develop a wild bootstrap-based Ljung-Box test for cross correlations in mean of multivariate time series. According to our simulation study, the wild bootstrap-based Ljung-Box test succeeds to achieve correct sizes and comparable powers in the presence of ARCH effect.
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Authors who are presenting talks have a * after their name.
