Which of the following is true for the Volatility Ratio (VR) and volatility difference (VD) test?

Select one:

a.

To derive the asymptotic distribution, we must first derive the distribution for the variance difference, which we can then use with the delta method to derive the asymptotic distribution of the variance ratio

b.

All of the options

c.

None of the options

d.

Using overlapping returns can result in decreased efficiency but increased power

e.

The refinements for the asymptotic distribution provide us with a new VD statistic and lead to an unbiased distribution for VD