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Variance-Ratio Tests Of Random Walk: An Overview

  • Amélie Charles
  • Olivier Darné

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.

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Article provided by Wiley Blackwell in its journal Journal of Economic Surveys.

Volume (Year): 23 (2009)
Issue (Month): 3 (07)
Pages: 503-527

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Handle: RePEc:bla:jecsur:v:23:y:2009:i:3:p:503-527
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