Specifically, we adopt normalized Hasbrouck's (1993) intraday pricing error volatility, absolute value of first-order autocorrelation in daily returns, and absolute value of weekly to daily variance ratio
as our empirical measures of price inefficiency.
Lo and MacKinlay (1988) proposed using a variance ratio
test which is based on comparing variance estimators derived from data sampled at different frequencies.
Second, the replenishment rule has an impact on the inventory stability (as measured by the inventory variance ratio
When estimating the health effects related to a chemical exposure, the variance ratio
Additionally they examine two performance metrics for assessing the bullwhip effect: the order rate variance ratio
and the net stock amplification.
A number of statistical tests comprising Ljung-Box Q statistics test, Runs test, GARCH volatility test and variance ratio
test have been used to test randomness of world markets.
They first introduced the variance ratio
to test the weak-form.
Another approach to examining the persistence of a time series is the variance ratio
test of Cochrane (1988).
DF = degrees of freedom, SS = Sums of squares, MS = Mean square, F = Variance ratio
05) and we report the change in the variance ratio
The t statistic cannot reject the null of equality of means between samples, and the variance ratio
rejects the null of variance equality between the samples.
AC(j) is the jth autocorrelation, VR(j) is the jth variance ratio
, 6 is the volatility, and corr denotes the correlation.