Automatic variance ratio test under conditional heteroskedasticity
By Jae Hyun Kim. 2009
169 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/e1f0b7eaddefcdce832818d469db127e13c10786
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Citations in the corpus
- Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, methodology): “This is because the simulations performed by Escanciano and Lobato (2009) and Kim (2009) demonstrate that both tests present high power for models commonly employed in empirical finance.”
- On the inefficiency of Bitcoin (2017, methodology): “Fourthly, we performed the wild-bootstrapped automatic variance ratio test (Kim, 2009) to check whether the random walk hypothesis holds for the returns.”
- Carbon trading thickness and market efficiency (2010, unknown): “[16] Kim, J.”
- Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2011, methodology): “Kim (2009) finds that small sample properties of Choi’s (1999) test can be substantially improved, by employing the wild bootstrap.”
- Change Points and Temporal Dependence in Reconstructions of Annual Temperature: Did Europe Experience a Little Ice Age? (2014, methodology): “io test, based on the idea of Lo and MacKinlay (1989) that, for uncorrelated series, estimated variance should rise in proportion to the length of the series: AVR=1+2Σp−1 i=1(1− i/p)ρ i. We apply the Kim (2009) modification where p is chosen by a data dependent procedure, and the distribution of the ”
- Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data (2011, unknown): “1 Kim, C.-J., and Nelson, C.R. 1999. Has the Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle. The Review of Economics and Statistics 81, 608–616. Kim, J. H. (2009). "Automatic variance ratio test under conditional heteroskedasticity.”