New variance ratio tests to identify random walk from the general mean reversion model
DOI10.1155/JAMDS/2006/12314zbMATH Open1105.62105MaRDI QIDQ868405FDOQ868405
Authors: Kin-Tak Lam, May Chun Mei Wong, Wing-Keung Wong 
Publication date: 5 March 2007
Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/126921
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Cites Work
- Rectangular Confidence Regions for the Means of Multivariate Normal Distributions
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Title not available (Why is that?)
- Portfolio Analysis in a Stable Paretian Market
- A simple multiple variance ratio test
- Time series properties of aggregate output fluctuations
- Some generalizations of the T-method in simultaneous inference
- Robustness and power of tests for a null variance ratio
- A General Method for Constructing Simultaneous Confidence Intervals
Cited In (5)
- Testing the random walk hypothesis through robust estimation of correlation
- Effects of non-normality on tests of random walk models against effects of non-normality
- Gaussian mixture modelling to detect random walks in capital markets
- A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks
- A multiple variance ratio test using subsampling
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