On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financ...
On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data [electronic resource] / Phillip Wild and John Foster.
About this item
Full title
Author / Creator
Publisher
Brisbane, Qld. : School of Economics, University of Queensland, 2012.
Date
2012.
Record Identifier
MMS ID
Language
English
Formats
Physical Description
Physical content
82 p.
Publication information
Publisher
Brisbane, Qld. : School of Economics, University of Queensland, 2012.
Series
Place of Publication
Queensland
Date Published
2012.
Subjects
Subject Keywords
- Australian
More information
Scope and Contents
Summary
In this paper, we present three nonparametric trispectrum tests that can establish whether the spectral decomposition of kurtosis of high frequency financial asset price time series is consistent with the assumptions of Gaussianity, linearity and time reversiblility. The detection of nonlinear and time irreversible probabilistic structure has impor...
Alternative Titles
Full title
On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data [electronic resource] / Phillip Wild and John Foster.
Authors, Artists and Contributors
Author / Creator
Author / Artists
Notes
General note
School of Economics discussion paper ; no. 466.
Title from title screen (viewed on Sept. 24, 2012)
"June 2012".
Includes bibliographical references (p. 45-50)
System details note
System requirements: Adobe Acrobat reader to read PDF file....
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Record Identifier
74VvBoNlBq4Z
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VvBoNlBq4Z
Other Identifiers
DDC
519.55
MMS ID
991016506239702626
