Wild bootstrapping variance ratio tests

By Jae Hyun Kim. 2006

216 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/edba1b57eea1efcdad99a95c8ac9bf56af7971f8

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Citations in the corpus

VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009, unknown): “The Lo-MacKinlay (1988), Chow-Denning (1993) and Kim (2006) tests are driven by Assumption H∗ of Lo and Mackinlay (1988) which assumes H∗1: For all t, E(εt) = 0, and E(εtεt−τ) = 0 for any τ 6= 0.”
Efficient market hypothesis in European stock markets (2008, methodology): “These include wild bootstrapping of joint variance ratio (VR) tests (as in Kim 2006 ) and joint signs-based VR tests (as in Kim and Shamsuddin 2008a , 2008b).”
Are Asian stock markets efficient? Evidence from new multiple variance ratio tests ☆ (2008, methodology): “This study adopts new Multiple Variance Ratio (MVR) tests, proposed recently by Chen and Deo ( 2006 ), Kim ( 2006 ) and Kim and Shamsuddin ( 2008 ).”
The Link between Economic Complexity and Carbon Emissions in the European Union Countries: A Model Based on the Environmental Kuznets Curve (EKC) Approach (2019, unknown): “It is a variance ratio test for homoskedastic and heteroskedastic random walks of errors, using the asymptotic normal distribution [104] or wild bootstrap [106] to evaluate statistical significance.”
Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2011, background): “The GS and DL test statistics given in (5) to (7) do not possess the standard asymptotic distributions.”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “To control for the overall test size, joint testing procedures have been proposed in the literature, among others by Richardson and Smith (1991), Chow and Denning (1993), Whang and Kim (2003), Chen and Deo (2006), Kim (2006) and Kim and Shamsuddin (2008).”
Carbon trading thickness and market efficiency (2010, unknown): “[15] Kim, J.”