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02-079/1 - Detecting Serial Dependence in Tail Events


  • Author
    Cees Diks, CeNDEF, University of Amsterdam
  • Publication date
    August 6, 2002
  • Keywords
    Nonparametric tests; Serial dependence; Correlation integral; Monte Carlo tests; Volatility clustering.
  • JEL
    C12; C15; C52.