Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity

By Richard Luger. 2003

48 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/11ee4555ddf4f1b963b77fc0631bda04af590cb8

Citations in the corpus

• VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009, unknown): “In a recent work, Luger (2003) used ranks and signs to extend the Campbell and Dufour (1997) nonparametric approach to test for random walk with unknown drift.”
• Affine Term-Structure Models: Theory and Implementation (2001, unknown): “…On the Nature and the Stability of the Canadian Phillips Curve M. Kichian 2001-3 On Commodity-Sensitive Currencies and Inflation Targeting K. Clinton 2001-2 Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity R. Luger 2001-1 The Elements of…”