VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW

Amélie Charles and Olivier Darné

Journal of Economic Surveys, 2009, vol. 23, issue 3, pages 503-527

Abstract: 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.

Date: 2009

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