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Year of publication
Subject
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Locally most powerful test 1 Weibull distribution 1 asymptotic relative efficiency 1 durations data 1 gamma distribution 1 quasi-likelihood 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Freeland, Keith 1 Martin, Gael 1 McCabe, Brendan P.M. 1
Institution
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Department of Econometrics and Business Statistics, Monash Business School 1
Published in...
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Monash Econometrics and Business Statistics Working Papers 1
Source
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RePEc 1
Showing 1 - 1 of 1
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A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data
McCabe, Brendan P.M.; Martin, Gael; Freeland, Keith - Department of Econometrics and Business Statistics, … - 2010
simulation. The test is illustrated using financial trade durations data. …
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