A Small-Sample Overlapping Variance-Ratio Test
The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small. Thi...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2002
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1131 https://ink.library.smu.edu.sg/context/soe_research/article/2130/viewcontent/JTSA_R.pdf |
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| Institution: | Singapore Management University |
| Language: | English |