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 introduction of the Euro has drawn interested parties’ attention on the Euro/U.S. Dollar exchang...
In this research, three variance ratio tests: the standard variance ratio test, the wild bootstrap m...
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...
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 paper compares different versions of the multiple variance ratio test based on bootstrap techni...
The hypothesis that a stock market price index follows a random walk is tested for the regional stoc...
The variance ratio test statistic, which is based on k-period differences of the data, is commonly u...
New variance ratio tests to identify random walk from the general mean reversion mode
This article extends and generalizes the variance-ratio (VR) statistic by employing an estimator of ...
Mestrado em FinançasEsta dissertação tem como objetivo testar a hipótese de passeio aleatório na cur...
The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, par...
The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, par...
Abstract: The variance ratio test statistic, which is based on k-period differences of the data, is ...
The introduction of the Euro has drawn interested parties’ attention on the Euro/U.S. Dollar exchang...
In this research, three variance ratio tests: the standard variance ratio test, the wild bootstrap m...
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...
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 paper compares different versions of the multiple variance ratio test based on bootstrap techni...
The hypothesis that a stock market price index follows a random walk is tested for the regional stoc...
The variance ratio test statistic, which is based on k-period differences of the data, is commonly u...
New variance ratio tests to identify random walk from the general mean reversion mode
This article extends and generalizes the variance-ratio (VR) statistic by employing an estimator of ...
Mestrado em FinançasEsta dissertação tem como objetivo testar a hipótese de passeio aleatório na cur...
The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, par...
The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, par...
Abstract: The variance ratio test statistic, which is based on k-period differences of the data, is ...
The introduction of the Euro has drawn interested parties’ attention on the Euro/U.S. Dollar exchang...
In this research, three variance ratio tests: the standard variance ratio test, the wild bootstrap m...
DOI
Add to ORKG