File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: New variance ratio tests to identify random walk from the general mean reversion model

TitleNew variance ratio tests to identify random walk from the general mean reversion model
Authors
Issue Date2006
Citation
Journal Of Applied Mathematics And Decision Sciences, 2006, v. 2006, article no. 12314 How to Cite?
AbstractWe develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(1) process but takes the form of a general ARMA process. We then derive some properties of the GMR process and three new nonparametric tests comparing the relative variability of returns over different horizons to validate the GMR process as an alternative to random walk. We further examine the asymptotic properties of these tests which can then be applied to identify random walk models from the GMR processes.
Persistent Identifierhttp://hdl.handle.net/10722/66202
ISSN
2012 SCImago Journal Rankings: 0.287
References

 

DC FieldValueLanguage
dc.contributor.authorLam, Ken_HK
dc.contributor.authorWong, MCMen_HK
dc.contributor.authorWong, WKen_HK
dc.date.accessioned2010-09-06T05:44:25Z-
dc.date.available2010-09-06T05:44:25Z-
dc.date.issued2006en_HK
dc.identifier.citationJournal Of Applied Mathematics And Decision Sciences, 2006, v. 2006, article no. 12314en_HK
dc.identifier.issn1173-9126en_HK
dc.identifier.urihttp://hdl.handle.net/10722/66202-
dc.description.abstractWe develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(1) process but takes the form of a general ARMA process. We then derive some properties of the GMR process and three new nonparametric tests comparing the relative variability of returns over different horizons to validate the GMR process as an alternative to random walk. We further examine the asymptotic properties of these tests which can then be applied to identify random walk models from the GMR processes.en_HK
dc.languageengen_HK
dc.relation.ispartofJournal of Applied Mathematics and Decision Sciencesen_HK
dc.titleNew variance ratio tests to identify random walk from the general mean reversion modelen_HK
dc.typeArticleen_HK
dc.identifier.emailWong, MCM:mcmwong@hkucc.hku.hken_HK
dc.identifier.authorityWong, MCM=rp00024en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1155/JAMDS/2006/12314en_HK
dc.identifier.scopuseid_2-s2.0-33749510245en_HK
dc.identifier.hkuros117344en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33749510245&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume2006en_HK
dc.identifier.scopusauthoridLam, K=36492945700en_HK
dc.identifier.scopusauthoridWong, MCM=26029250900en_HK
dc.identifier.scopusauthoridWong, WK=7403972051en_HK

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats