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When Are Variance Ratio Tests for Serial Dependence Optimal?

Citations

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Cited by:

  1. Benjamin Miranda Tabak, 2002. "The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case," Working Papers Series 58, Central Bank of Brazil, Research Department.
  2. Sibanjan Mishra, 2019. "Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures," Global Business Review, International Management Institute, vol. 20(6), pages 1407-1422, December.
  3. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics.
  4. John P. Miller & Paul Newbold, 1995. "A GENERALIZED VARIANCE RATIO TEST OF ARIMA (p, 1, q) MODEL SPECIFICATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 403-413, July.
  5. 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.
  6. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  7. Campbell, John Y., 2001. "Why long horizons? A study of power against persistent alternatives," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 459-491, December.
  8. Shlomo Zilca, 2010. "The variance ratio and trend stationary model as extensions of a constrained autoregressive model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(5), pages 467-475.
  9. Ronen, Tavy, 1998. "Trading structure and overnight information: A natural experiment from the Tel-Aviv Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 489-512, May.
  10. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers 29/14, Institute for Fiscal Studies.
  11. Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July.
  12. Simone Bianco & Roberto Reno, 2009. "Unexpected volatility and intraday serial correlation," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 465-475.
  13. Daniel, Kent, 2001. "The power and size of mean reversion tests," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 493-535, December.
  14. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
  15. Shively, Philip A., 2002. "An exact invariant variance ratio test," Economics Letters, Elsevier, vol. 75(3), pages 347-353, May.
  16. Choi, In, 1999. "Testing the Random Walk Hypothesis for Real Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May-June.
  17. 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).
  18. 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 13/15, Institute for Fiscal Studies.
  19. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
  20. Chen, Willa W. & Deo, Rohit S., 2006. "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, vol. 22(2), pages 206-234, April.
  21. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
  22. 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.
  23. Simone Bianco & Roberto Ren'o, 2006. "Unexpected volatility and intraday serial correlation," Papers physics/0610023, arXiv.org.
  24. Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "The Effects of the Brazilian ADRs Program on Domestic Market Efficiency," Working Papers Series 43, Central Bank of Brazil, Research Department.
  25. Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute.
  26. Diebold, Francis X. & Lindner, Peter, 1996. "Fractional integration and interval prediction," Economics Letters, Elsevier, vol. 50(3), pages 305-313, March.
  27. Y. K. Tse & K. W. Ng & Xibin Zhang, 2004. "A small‐sample overlapping variance‐ratio test," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 127-135, January.
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