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Variance ratio tests of random walk: An overview

  • Amélie Charles


    (Audencia Recherche - Audencia)

  • Olivier Darné


    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - UN - Université de Nantes)

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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Paper provided by HAL in its series Post-Print with number hal-00771078.

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Date of creation: 2009
Date of revision:
Publication status: Published in Journal of Economic Surveys, Wiley, 2009, 23 (3), pp.503-527. <10.1111/j.1467-6419.2008.00570.x>
Handle: RePEc:hal:journl:hal-00771078
DOI: 10.1111/j.1467-6419.2008.00570.x
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