Variance ratio tests of random walk: An overview
Résumé
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.
Domaines
Gestion et management
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Charles_Darne_Journal_of_Economic_Survey_2009_PP.pdf (185.39 Ko)
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