The compass rose and random walk tests.

DOI10.1016/S0167-9473(01)00063-9MaRDI QIDQ1603898zbMATH OpenFDO

Authors Yue Fang

Publication date 15 July 2002

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-9473(01)00063-9

zbMATH Keywords

AutocorrelationHeteroscedasticityMonte CarloPrice discretenessRandom walkVariance ratio

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Chaos and the compass rose
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• On a measure of lack of fit in time series models
• Time series: theory and methods.

Cited in

(3)

• Tick size and the compass rose: Further insights
• Riemann and Weierstrass walks revisited
• The angular distribution of asset returns in delay space

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