Extended residual coherence with a financial application


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Statistics in Transition New Series

Polish Statistical Association

Central Statistical Office of Poland

Subject: Economics, Statistics & Probability


ISSN: 1234-7655
eISSN: 2450-0291





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VOLUME 22 , ISSUE 2 (June 2021) > List of articles

Extended residual coherence with a financial application

Xuze Zhang * / Benjamin Kedem *

Keywords : interaction, residual coherence, nonlinear, time series, volatility index

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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