Identifying Nonlinear Serial Dependence in Volatile, High-Frequency Time Series and Its Implications for Volatility Modeling

C-Tier

Journal: Macroeconomic Dynamics

Year: 2010

Volume: 14

Issue: S1

Pages: 88-110

Authors (3)

Wild, Phillip (not in RePEc) Foster, John (not in RePEc) Hinich, Melvin J.

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count