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A0430
Title: Wild bootstrap Ljung box test for cross correlations of multivariate time series Authors:  Taewook Lee - Hankuk University of Foreign Studies (Korea, South) [presenting]
Abstract: 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 is to develop a wild bootstrap-based Ljung-Box test for crosscorrelations 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.