Asian Review of Financial Research

pISSN: 1229-0351
eISSN: 2713-6531

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Spectral Analysis of the Variance Ratio Test ×
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Asian Review of Financial Research Vol.19 No.1 pp.43-75
Spectral Analysis of the Variance Ratio Test
Jong-In Yoon1†
1 백석대학교 경상학부 교수
Key Words : 분산비; 스펙트럴분석; 가산필터; 이득; 랜덤워크가설; 기술적 분석

Abstract

This study analyzes the variance ratio test in the frequency domain. Using the concept of the summation filter, its formulation is clearer in the frequency domain rather than in the time domain. We can formulate the variance ratio and explain its implications in the frequency domain. Two applications of the spectral analysis are presented. First, we try to explain the low power problem of the random walk hypothesis, suggested by Summers (1986). It is due to that AR(1) alternative hypothesis is not identifiable with the random walk null hypothesis in formulating the persistent transitory component. Second, we analyze the applicability of the technical methods such as the moving average analysis. It is shown that the variance ratio can be used in selecting cycles with the appropriate period.
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