VARIANCE‐RATIO TESTS OF RANDOM WALK: AN OVERVIEW

Amélie Charles and Olivier Darné

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

Abstract: 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.

Date: 2009
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https://doi.org/10.1111/j.1467-6419.2008.00570.x

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Working Paper: Variance ratio tests of random walk: An overview (2009)
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