Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity

DOI10.1016/S0304-4076(03)00097-6zbMath1026.62044MaRDI QIDQ1398962

Richard Luger

Publication date: 7 August 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

conditional heteroskedasticity; unit root; random walk; exact inference; multivariate symmetry

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62P05: Applications of statistics to actuarial sciences and financial mathematics

Cites Work

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