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Variance‐Ratio Tests Of Random Walk: An Overview

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  • Amélie Charles
  • Olivier Darné

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.

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  • Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    • Handle: RePEc:bla:jecsur:v:23:y:2009:i:3:p:503-527
    DOI: 10.1111/j.1467-6419.2008.00570.x
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