Variance Ratio tests and spectral shape tests for Weak-form Market Efficiency


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Documentation for package ‘vrtest’ version 0.90

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vrtest-package Variance Ratio Tests for Weak-form Market Efficiency
Adjust.thin Adjustment for thinly-traded returns
Auto.VR Automatic Variance Ratio Test
Ave.Ex Average Exponential Tests
Boot.test Bootstrap Variance Ratio Tests
Chen.Deo Power Transformed Joint Variance Ratio Test
Chow.Denning Chow-Denning Multiple Variance Ratio Tests
exrates wright's Exchange Rates Data
Joint.Wright A Joint Version of Wight's Rank and Sign Test
JWright.crit Critical Values for the joint versions of Wright's rank and sign tests
Lo.Mac Lo-MacKinlay variance Ratio Tests
Spec.shape Spectral shape tests for random walk
Subsample.test Subsampling test of Whang and Kim (2003)
VR.minus.1 Absolute Value of (VR - 1)
VR.plot Variance Ratio Plot
vrtest Variance Ratio Tests for Weak-form Market Efficiency
Wald Wald Test of Richardson and Smith (1991)
Wright Wright's Rank and Sign Tests
Wright.crit Critical Values for Wright's rank and sign tests