Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
Year of publication: |
2003
|
---|---|
Authors: | Luger, Richard |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 115.2003, 2, p. 259-276
|
Subject: | Nichtparametrisches Verfahren | Nonparametric statistics | Einheitswurzeltest | Unit root test | Random Walk | Random walk | Heteroskedastizität | Heteroscedasticity |
-
Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
Luger, Richard, (2001)
-
A new test in parametric linear models against nonparametric autoregressive errors
Gao, Jiti, (2011)
-
Random walks with drift : a sequential approach
Steland, Ansgar, (2004)
- More ...
-
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Gungor, Sermin, (2014)
-
Gungor, Sermin, (2017)
-
Essays in Empirical Finance: Evaluating Risk in FinancialMarkets
Shcherbakova, Alysa, (2009)
- More ...