THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
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Publication:5438201
DOI10.1017/S0266466606060099zbMath1127.62077MaRDI QIDQ5438201
Publication date: 23 January 2008
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466606060099
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
65C05: Monte Carlo methods
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Cites Work
- Stationarity of GARCH processes and of some nonnegative time series
- Generalized autoregressive conditional heteroscedasticity
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- A Simple Multivariate Test for One-Sided Alternatives
- When are Variance Ratio Tests for Serial Dependence Optimal?
- Power Transformations to Induce Normality and their Applications