A small-sample overlapping variance-ratio test
نویسندگان
چکیده
منابع مشابه
A Joint Variance Ratio Test based on the Wild Bootstrap
The variance ratio (VR) test has been widely used as a means of testing for the martingale hypothesis in financial time series. The conventional VR tests are asymptotic tests, which can exhibit deficient small sample properties. In this paper, a joint VR test based on the wild bootstrap is proposed. It is a small sample test which does not rely on asymptotic approximations. An extensive Monte C...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2004
ISSN: 0143-9782,1467-9892
DOI: 10.1046/j.0143-9782.2003.01804.x