Weighted Bootstrap Approach for the Variance Ratio Tests: A Test of Market Efficiency
نویسندگان
چکیده
منابع مشابه
the test for adverse selection in life insurance market: the case of mellat insurance company
انتخاب نامساعد یکی از مشکلات اساسی در صنعت بیمه است. که ابتدا در سال 1960، توسط روتشیلد واستیگلیتز مورد بحث ومطالعه قرار گرفت ازآن موقع تاکنون بسیاری از پژوهشگران مدل های مختلفی را برای تجزیه و تحلیل تقاضا برای صنعت بیمه عمر که تماما ناشی از عدم قطعیت در این صنعت میباشد انجام داده اند .وهدف از آن پیدا کردن شرایطی است که تحت آن شرایط انتخاب یا کنار گذاشتن یک بیمه گزار به نفع و یا زیان شرکت بیمه ...
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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: Theoretical Economics Letters
سال: 2016
ISSN: 2162-2078,2162-2086
DOI: 10.4236/tel.2016.63048