Testing the random walk hypothesis through robust estimation of correlation

DOI10.1016/j.csda.2007.08.016zbMath1452.62120OpenAlexW1982954151MaRDI QIDQ1023580

Andrei Semenov

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

zbMATH Keywords

Monte Carlo experimentconditional heteroskedasticityrandom walkcorrelation coefficientautocorrelationvariance ratio

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• On robust estimation of a correlation coefficient
• Generalized autoregressive conditional heteroscedasticity
• Approximation Theorems of Mathematical Statistics
• Identification of Outliers in Multivariate Data
• On a Measure of Dependence Between two Random Variables
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