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Weighted Bootstrap Approach for the Variance Ratio Tests: A Test of Market Efficiency

DOI: 10.4236/tel.2016.63048, PP. 426-431

Keywords: Monte Carlo Experiment, Weighted Bootstrap, Variance Ratio, Return Predictability

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By means of Monte Carlo experiments using the weighted bootstrap, we evaluate the size and power properties in small samples of Chow and Denning’s [1] multiple variance ratio test and the automatic variance ratio test of Choi [2]. Our results indicate that the weighted bootstrap tests exhibit desirable size properties and substantially higher power than corresponding conventional tests.


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