Periklis Kougoulis

Abu Dhabi University - College of Business Administration

PO Box 59911

Abu Dhabi, Abu Dhabi 59911

United Arab Emirates

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Generalized Variance‐Ratio Tests in the Presence of Statistical Dependence

Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 687-705, 2015
Number of pages: 19 Posted: 28 Jul 2015
John C. Nankervis, Periklis Kougoulis and Jerry Coakley
University of Essex - Department of Accounting, Finance & Management, Abu Dhabi University - College of Business Administration and University of Essex - Essex Business School
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Abstract:

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Variance‐ratio statistic, non‐MDS process, Monte Carlo