The compass rose and random walk tests.

DOI10.1016/S0167-9473(01)00063-9zbMath1180.62148MaRDI QIDQ1603898

Yue Fang

Publication date: 15 July 2002

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

zbMATH Keywords

Monte CarloHeteroscedasticityRandom walkAutocorrelationPrice discretenessVariance ratio

Mathematics Subject Classification ID

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

Related Items (1)

Riemann and Weierstrass walks revisited

Cites Work

• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Time series: theory and methods.
• Chaos and the compass rose
• Generalized autoregressive conditional heteroscedasticity
• On a measure of lack of fit in time series models

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