Buy custom Predictability Of Stock Price Returns In Select Emerging Markets
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Business
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| Number of pages / Number of words: |
6 / 1490 |
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Consequently, Lo and MacKinlay (1988) derive a test statistic which allows for general forms of heteroscedasticity. This heteroscedasticity-consistent asymptotic variance estimator ?*(q) is given by:
(6)
where
(7)
The VR statistic can be standardized asymptotically to a standard normal test statistic, Z*(q) which as reported by Lo and MacKinlay (1988), is computed as:
(8)
where ?*(q) is the asymptotic variance of the variance ratio...
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Consequently, Lo and MacKinlay (1988) derive a test statistic which allows for general forms of heteroscedasticity. This heteroscedasticity-consistent asymptotic variance estimator ?*(q) is given by:
(6)
where
(7)
The VR statistic can be standardized asymptotically to a standard normal test statistic, Z*(q) which as reported by Lo and MacKinlay (1988), is computed as:
(8)
where ?*(q) is the asymptotic variance of the variance ratio...
Essay fragment
General points of the essay
Asia'S Lessons For Emerging Markets
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IBM'S STOCK PRICE
Is Raising Money In U.S. Stock Markets More - Or Less - Difficult Than In The Rest Of The World?
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Review of evidence concerning the efficiency of the world’s major stock markets
Study of Emerging markets
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