The Variance Ratio Test with Stable Paretian Errors
This paper examines the distribution of the overlapping variance ratio (OVR) statistic when the errors are distributed with thick tails as described by the family of stable Paretian distributions. The asymptotic distribution of the OVR statistic, which depends on the characteristic exponent, can be...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2002
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/147 |
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| Institution: | Singapore Management University |
| Language: | English |