Sign Tests for Dependent Observations and Bounds for Path-Dependent Options
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- Anat Bracha & Jeremy Gray & Rustam Ibragimov & Boaz Nadler & Dmitry Shapiro & Glena Ames & Donald J. Brown, 2005. "Randomized Sign Test for Dependent Observations on Discrete Choice under Risk," Cowles Foundation Discussion Papers 1526, Cowles Foundation for Research in Economics, Yale University.
More about this item
KeywordsSign tests; dependence; martingale-difference; Bernoulli random variables; conservative tests; exact tests; option bounds; trinomial model; binomial model; semiparametric estimates; fair prices; expected payoffs; path-dependent contingent claims; effcient market hypothesis;
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