Permutation test of independence in tails for dependent processes

In this article, we propose a permutation test for independence in the tails of two strongly mixing and strictly stationary sequences. We establish the asymptotic validity of the test by demonstrating that both the test statistic and its permutation distribution are asymptotically normal. These results build upon and generalize findings from Basrak and Brborović [1]. Additionally, we conduct a simulation study to evaluate the size and power properties of the proposed test.

Authors

Publication Details

Journal
Glasnik Matematicki
Published
2025-12-20
DOI
https://doi.org/10.3336/gm.60.2.09
Primary Topic
Financial Risk and Volatility Modeling
Type
article
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article

Permutation test of independence in tails for dependent processes

Darko Brborović
Glasnik Matematicki
Financial Risk and Volatility Modeling
article

Permutation test of independence in tails for dependent processes

Darko Brborović
article en

Abstract

In this article, we propose a permutation test for independence in the tails of two strongly mixing and strictly stationary sequences. We establish the asymptotic validity of the test by demonstrating that both the test statistic and its permutation distribution are asymptotically normal. These results build upon and generalize findings from Basrak and Brborović [1]. Additionally, we conduct a simulation study to evaluate the size and power properties of the proposed test.

Glasnik MatematickiVol. 60(2)
Openalex Percentile: Top 27%
Financial Risk and Volatility Modeling
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Permutation test of independence in tails for dependent processes — Darko Brborović · Glasnik Matematicki (2025) | TGRS Research Map | TGRS