On The Asymptotic Power Of The Variance Ratio Test
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- Charles, Amélie & Darné, Olivier, 2009.
"The efficiency of the crude oil markets: Evidence from variance ratio tests,"
Elsevier, vol. 37(11), pages 4267-4272, November.
- Amélie Charles & Olivier Darné, 2009. "The efficiency of the crude oil markets: Evidence from variance ratio tests," Post-Print hal-00771081, HAL.
- Anoop S. KUMAR & Bandi KAMAIAH, 2016. "Efficiency, non-linearity and chaos: evidences from BRICS foreign exchange markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(606), S), pages 103-118, Spring.
- repec:eee:reveco:v:51:y:2017:i:c:p:283-294 is not listed on IDEAS
- Shyh-wei Chen, 2009. "Random walks in asian foreign exchange markets:evidence from new multiple variance ratio tests," Economics Bulletin, AccessEcon, vol. 29(2), pages 1296-1307.
- Charles, Amélie & Darné, Olivier, 2009.
"The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests,"
Elsevier, vol. 33(2), pages 117-126, June.
- Amélie Charles & Olivier Darné, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Post-Print hal-00771080, HAL.
- Hoque, Hafiz A.A.B. & Kim, Jae H. & Pyun, Chong Soo, 2007. "A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 488-502.
- Amelie Charles & Olivier Darne, 2009.
"Testing for Random Walk Behavior in Euro Exchange Rates,"
CEPII research center, issue 119, pages 25-45.
- Amélie Charles & Olivier Darné, 2009. "Testing for random walk behavior in euro exchange rates," Post-Print hal-00771082, HAL.
- 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.
- S. Anoop Kumar & Bandi Kamaiah, 2014. "Efficient Market Hypothesis: Some Evidences from Emerging European Forex Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 17(52), pages 27-44, June.
- Hiremath, Gourishankar S & Bandi, Kamaiah, 2012. "Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns," MPRA Paper 48710, University Library of Munich, Germany.
- Gençay, Ramazan & Signori, Daniele, 2015. "Multi-scale tests for serial correlation," Journal of Econometrics, Elsevier, vol. 184(1), pages 62-80.
- Chen, Willa W. & Deo, Rohit S., 2006. "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, vol. 22(02), pages 206-234, April.
- Verheyden, Tim & De Moor, Lieven & Van den Bossche, Filip, 2015. "Towards a new framework on efficient markets," Research in International Business and Finance, Elsevier, vol. 34(C), pages 294-308.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015.
"An investigation into multivariate variance ratio statistics and their application to stock market predictability,"
CeMMAP working papers
CWP13/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability," Cambridge Working Papers in Economics 1552, Faculty of Economics, University of Cambridge.
- Sasikumar, Anoop, 2011. "Testing for weak form market efficiency in Indian foreign exchange market," MPRA Paper 37071, University Library of Munich, Germany.
- Deo, Rohit S. & Chen, Willa W., 2003. "The Variance Ratio Statistic at Large Horizons," Papers 2004,04, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Masao Ogaki & Sungwook Park, 2007. "Long-run real exchange rate changes and the properties of the variance of k-differences," Working Papers 07-05, Ohio State University, Department of Economics.
- Montagnoli, Alberto & de Vries, Frans P., 2010. "Carbon trading thickness and market efficiency," Energy Economics, Elsevier, vol. 32(6), pages 1331-1336, November.
- Simone Bianco & Roberto Ren'o, 2006. "Unexpected volatility and intraday serial correlation," Papers physics/0610023, arXiv.org.
- Aye, Goodness C. & Gil-Alana, Luis A. & Gupta, Rangan & Wohar, Mark E., 2017.
"The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches,"
International Review of Economics & Finance,
Elsevier, vol. 51(C), pages 283-294.
- Goodness C. Aye & Luis A. Gil-Alana & Rangan Gupta & Mark Wohar, 2016. "The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches," Working Papers 201610, University of Pretoria, Department of Economics.
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