A small-sample overlapping variance-ratio test

Journal of Time Series Analysis

Volumn 25, Issue 1, 2004, Pages 127-135

  Tse, Y K ^a   Ng, K W ^b   Zhang, Xibin ^c  

^a SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

^c MONASH UNIVERSITY   (Australia)

Author keywords

Beta distribution; Monte Carlo experiment; Random walk hypothesis; Variance ratio test

Indexed keywords

EID: 1242292224     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1046/j.0143-9782.2003.01804.x     Document Type: Article

References (13)

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