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Citation Information : Statistics in Transition New Series. Volume 22, Issue 2, Pages 1-14, DOI: https://doi.org/10.21307/stattrans-2021-014
License : (CC BY-NC-ND 4.0)
Received Date : 07-April-2021 / Accepted: 26-May-2021 / Published Online: 13-June-2021
Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of a single time series and its lags. This paper extends the notion of residual coherence to account for interaction terms of multiple time series. Moreover, an alternative criterion, integrated spectrum, is proposed to facilitate this graphical selection. A financial market application shows that new insights can be gained regarding implied market volatility.
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