Search results for "Variance ratio"
showing 5 items of 5 documents
Empirical Estimation of Accumulation-Induced Change in Gill Net Catchability: Mind the Observation Errors
2015
We analyzed cumulative catches for 24 h gill net exposures divided into 4*6 h, 2*12 h and 1*24 h soak time treatments to estimate the reduction in its catchability due to accumulation of fish. The effects of loss of catch during net lifting, disturbance effect and fouling were eliminated as far as possible to reveal the true effect of accumulation. First we applied simple nonparametric and parametric tests in comparison of treatments. As expected, considerable reduction in catchability took place along with the increase in soak time, indicated by significantly lower total 24 h catches from longer soaks in comparison with shorter ones. The reduction was more pronounced for roach than for per…
Impact de l'intervalle d'échantillonnage sur les tests d'efficience : application au marché français des actions
1994
Efficiency of financial markets is one of the most studied subject in theoretical finance. Formalization of this idea is realised by the random walk model. Numerous tests have been developped to validate the hypothesis of identically and independantly distributed innovations. But the results of empirical works are not unanimous ; the acceptation of the random walk is not systematic and depend too much on sample features. This constatation leads us to study the impact of the sample frequency on empirical results by distinguishing two different methodologies of tests : the first one is based on unit root (DICKEY et FULLER 1979, 1981) and the other one on variance ratio (LO et MACKINLAY 1988).…
Muscle strength and muscle characteristics in monozygous and dizygous twins.
1979
Muscle strength and electrical activity were investigated on 31 pairs of young male and female monozygous (MZ) and dizygous (DZ) twins. The measurements included leg forces, force-time, running velocity, muscular power, maximal integrated electromyographic activity (IEMG) and chronaximetry of the quadriceps muscle group. In each parameter the intrapair variance was computed and the differences were tested between the MZ and DZ twins. The variance ratio (MZ vs. DZ) was statistically significant only for muscular power confirming an earlier finding which has demonstrated a genetic component for the variable. In addition to the various performance variables several key enzymes involved in ATP …
Some evidence of random walk behavior of Euro exchange rates using ranks and signs
2005
Abstract This study utilises recently developed tests based on ranks and signs, in addition to the traditional variance ratio test, to examine the behavior of Euro exchange rates. We show that adjustments for multiple tests must be employed in order to avoid size distortions. Overall, such adjustments provide evidence consistent with random walk behavior of Euro exchange rates.
Testing for random walk in euro exchange rates using the subsampling approach
2010
This study utilizes variance ratio tests based on the subsampling approach to test the behaviour of euro-based exchange rates markets. Results are mixed, although the random walk behaviour is dominant among the three major currencies namely the Japanese yen, the US dollar and the British pound.