DSpace at EWHA: A multiple variance ratio test using subsampling

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DC Field	Value	Language
dc.contributor.author	김진호	-
dc.date.accessioned	2016-08-28T11:08:41Z	-
dc.date.available	2016-08-28T11:08:41Z	-
dc.date.issued	2003	-
dc.identifier.issn	0165-1765	-
dc.identifier.other	OAK-12630	-
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/228720	-
dc.description.abstract	This paper considers a test of the random walk hypothesis by comparing jointly the variance ratios at multiple observation intervals with unity. We suggest a subsampling procedure to approximate the asymptotic null distribution. Simulation results provide some favorable finite sample performance. © 2002 Elsevier Science B.V. All rights reserved.	-
dc.language	English	-
dc.title	A multiple variance ratio test using subsampling	-
dc.type	Article	-
dc.relation.issue	2	-
dc.relation.volume	79	-
dc.relation.index	SSCI	-
dc.relation.index	SCOPUS	-
dc.relation.startpage	225	-
dc.relation.lastpage	230	-
dc.relation.journaltitle	Economics Letters	-
dc.identifier.doi	10.1016/S0165-1765(02)00330-0	-
dc.identifier.scopusid	2-s2.0-0037401427	-
dc.author.google	Whang Y.-J.	-
dc.author.google	Kim J.	-
dc.contributor.scopusid	김진호(55720153300)	-
dc.date.modifydate	20170511081005	-