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Non-Linear Dependence in Oil Price Behavior
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作者 Semei Coronado Ramirez Leonardo Gatica Arreola Mauricio Ramirez Grajeda 《Journal of Mathematics and System Science》 2012年第2期110-118,共9页
In this paper, the authors analyze the adequacy of GARCH-type models to analyze oil price behavior by applying two types of non-parametric tests, the Hinich portmanteau test for non-linear dependence and a frequency-d... In this paper, the authors analyze the adequacy of GARCH-type models to analyze oil price behavior by applying two types of non-parametric tests, the Hinich portmanteau test for non-linear dependence and a frequency-dominant test of time reversibility, the reverse test based on the bispectrum, to explore the high-order spectrum properties of the Mexican oil price series. The results suggest strong evidence of a non-linear structure and time irreversibility. Therefore, it does not comply with the i.i.d (independent and identically distributed) property. The non-linear dependence, however, is not consistent throughout the sample period, as indicated by a windowed test, suggesting episodic nonlinear dependence. The results imply that GARCH models cannot capture the series structure. 展开更多
关键词 bispcctrum time reversibility NONLINEARITY asymmetry oil price.
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