Title of article :
Wild bootstrapping variance ratio tests
Author/Authors :
Jae H. Kim، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Abstract :
The wild bootstrap is proposed as a means of improving small sample properties of variance ratio tests. It is found that the wild bootstrap tests have desirable size properties and exhibit higher power than their alternatives in most cases.
Keywords :
Conditional heteroskedasticity , Market efficiency , wild bootstrap , Monte Carlo experiment
Journal title :
Economics Letters
Journal title :
Economics Letters
