IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v23y2002i1p117-126.html
   My bibliography  Save this article

The Variance Ratio Test with Stable Paretian Errors

Author

Listed:
  • Y. K. TSE
  • X. B. ZHANG

Abstract

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 estimated using simulation. It is found that the convergence of the distribution of the OVR statistic to its asymptotic limit is extremely slow. Thus, the asymptotic results will not be able to provide any useful approximation in finite samples. To facilitate the OVR statistic as a test for the random walk hypothesis, the tail quantiles are estimated for several finite sample sizes.

Suggested Citation

  • Y. K. Tse & X. B. Zhang, 2002. "The Variance Ratio Test with Stable Paretian Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(1), pages 117-126, January.
    • Handle: RePEc:bla:jtsera:v:23:y:2002:i:1:p:117-126
    DOI: 10.1111/1467-9892.01664
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9892.01664
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9892.01664?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
    2. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
    3. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:23:y:2002:i:1:p:117-126. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.