THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS

DOI10.1017/S0266466606060099zbMath1127.62077OpenAlexW2042617870MaRDI QIDQ5438201

Rohit S. Deo, Willa W. Chen

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items (4)

TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS ⋮ Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market ⋮ Testing the martingale difference hypothesis in high dimension ⋮ A Nonparametric Test for Deviation from Randomness with Applications to Stock Market Index Data

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

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