This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re-examine the weak-form efficiency for five emerging equity markets in Latin America
Abstract: The variance ratio test statistic, which is based on k-period differences of the data, is ...
The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, par...
Published in Journal of Time Series Analysis, 2004, 25 (1), pp. 127-135. https://doi.org/10.1046/j.0...
This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the rand...
This paper reviews the variance-ratio tests of random walk hypothesis. In this work, various tests i...
The variance ratio test statistic, which is based on k-period differences of the data, is commonly u...
The hypothesis that a stock market price index follows a random walk is tested for the regional stoc...
This article extends and generalizes the variance-ratio (VR) statistic by employing an estimator of ...
The introduction of the Euro has drawn interested parties’ attention on the Euro/U.S. Dollar exchang...
Mestrado em FinançasEsta dissertação tem como objetivo testar a hipótese de passeio aleatório na cur...
SIGLEAvailable from British Library Document Supply Centre-DSC:9348.965(no 96) / BLDSC - British Lib...
Lo & Mackinlay established the Variance Ratio test in 1988 to test for random walk behaviour in asse...
This study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both ...
This paper compares different versions of the multiple variance ratio test based on bootstrap techni...
Multiple variance ratio tests, in rolling window procedure, were applied to weekly data (expressed i...
Abstract: The variance ratio test statistic, which is based on k-period differences of the data, is ...
The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, par...
Published in Journal of Time Series Analysis, 2004, 25 (1), pp. 127-135. https://doi.org/10.1046/j.0...
This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the rand...
This paper reviews the variance-ratio tests of random walk hypothesis. In this work, various tests i...
The variance ratio test statistic, which is based on k-period differences of the data, is commonly u...
The hypothesis that a stock market price index follows a random walk is tested for the regional stoc...
This article extends and generalizes the variance-ratio (VR) statistic by employing an estimator of ...
The introduction of the Euro has drawn interested parties’ attention on the Euro/U.S. Dollar exchang...
Mestrado em FinançasEsta dissertação tem como objetivo testar a hipótese de passeio aleatório na cur...
SIGLEAvailable from British Library Document Supply Centre-DSC:9348.965(no 96) / BLDSC - British Lib...
Lo & Mackinlay established the Variance Ratio test in 1988 to test for random walk behaviour in asse...
This study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both ...
This paper compares different versions of the multiple variance ratio test based on bootstrap techni...
Multiple variance ratio tests, in rolling window procedure, were applied to weekly data (expressed i...
Abstract: The variance ratio test statistic, which is based on k-period differences of the data, is ...
The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, par...
Published in Journal of Time Series Analysis, 2004, 25 (1), pp. 127-135. https://doi.org/10.1046/j.0...
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