English, Article edition: VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW Amélie Charles; Olivier Darné

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Bookmark: http://trove.nla.gov.au/version/107855
Physical Description
  • article
Language
  • English

Edition details

Title
  • VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW
Author
  • Amélie Charles
  • Olivier Darné
Physical Description
  • article
Notes
  • 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. Copyright © 2009 The Authors. Journal compilation © 2009 Blackwell Publishing Ltd.
  • RePEc:bla:jecsur:v:23:y:2009:i:3:p:503-527
Language
  • English
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