Extended residual coherence with a financial application

• Authors: Xuze Zhang , Benjamin Kedem

Abstracts

EN

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

Keywords

EN

interaction; residual coherence; nonlinear; time series; volatility index

• Publisher: Główny Urząd Statystyczny
• Journal: Statistics in Transition new series
• Year: 2021
• Volume: 22
• Issue: 2
• Pages: 1-14

Contributors

author

Xuze Zhang

• Department of Mathematics and Institute for Systems Research, University of Maryland

• https://orcid.org/0000000286728515

author

Benjamin Kedem

• Department of Mathematics and Institute for Systems Research, University of Maryland

• https://orcid.org/0000000279458713

Identifiers

DOI

10.21307/stattrans-2021-014

Biblioteka Nauki

1054574