Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation
This paper presents a complete framework for testing procedure based on statistical theory of Markov chains.
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- Diebold, Francis X. & Chen, Celia, 1996.
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"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
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- Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "VRATIO: RATS procedure to implement variance ratio unit root test procedure," Statistical Software Components RTS00231, Boston College Department of Economics.
- Fielitz, Bruce D., 1975. "On the Stationarity of Transition Probability Matrices of Common Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(02), pages 327-339, June.
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"Mean reversion in stock prices : Evidence and Implications,"
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- McQueen, Grant & Thorley, Steven, 1991. " Are Stock Returns Predictable? A Test Using Markov Chains," Journal of Finance, American Finance Association, vol. 46(1), pages 239-263, March.
- Richardson, Matthew, 1993. "Temporary Components of Stock Prices: A Skeptic's View," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 199-207, April.
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-328, April.
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