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Mostrando ítems 1-10 de 18
Generalized portmanteau tests based on subspace methods
(Universidad Nacional de Colombia, 2013)
Este artículo trata el problema de la diagnosis residual desde la perspectivade los métodos de subespacios. Se presentan dos estadísticos y susdistribuciones asintóticas bajo la hipótesis nula. Ambos estadísticos puedenusarse ...
Portmanteau testing inference in beta autoregressive moving average models
(Universidade Federal de PernambucoUFPEBrasilPrograma de Pos Graduacao em Estatistica, 2018)
Nonlinearities and financial contagion in Latin American stock markets
(Elsevier, 2015)
We use the Hinich (1996) portmanteau bicorrelation test to graphically represent nonlinear events detected in Latin American stock markets. We identity the starting, the ending, the intensity, and the persistence of nonlinear ...
Nonlinear behaviour of emerging market bonds spreads: The Latin American case
(2008)
In this article we check for nonlinear behaviour of the 10 most important Latin American emerging market bonds spreads. Applying the Hinich portmanteau bicorrelation test, the BDS test and the Engle LM test, we observe ...
Episodic Nonlinearity in Latin American Stock Market Indices
(2006-06-05)
This letter applies the Hinich Portmanteau bicorrelation test jointly with the windowed testing procedure to detect nonlinear behavior in the rate of returns series for seven Latin American stock market indices. Our results ...