Testing the random walk hypothesis through robust estimation of correlation
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Publication:1023580
DOI10.1016/j.csda.2007.08.016zbMath1452.62120MaRDI QIDQ1023580
Publication date: 12 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2007.08.016
Monte Carlo experiment; conditional heteroskedasticity; random walk; correlation coefficient; autocorrelation; variance ratio
62P20: Applications of statistics to economics
62-08: Computational methods for problems pertaining to statistics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F35: Robustness and adaptive procedures (parametric inference)
Cites Work
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