The Variance Ratio Test: An Analysis Of Size And Power Based On A Continuous-Time Asymptotic Framework
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Cited by:
- Pernagallo, Giuseppe & Torrisi, Benedetto, 2020.
"Blindfolded monkeys or financial analysts: Who is worth your money? New evidence on informational inefficiencies in the U.S. stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
- Giuseppe Pernagallo & Benedetto Torrisi, 2019. "Blindfolded monkeys or financial analysts: who is worth your money? New evidence on informational inefficiencies in the U.S. stock market," Papers 1904.03488, arXiv.org, revised Oct 2019.
- Kim, Dukpa & Perron, Pierre, 2009.
"Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope,"
Journal of Econometrics, Elsevier, vol. 149(1), pages 26-51, April.
- Dukpa Kim & Pierre Perron, 2006. "Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope," Boston University - Department of Economics - Working Papers Series WP2006-063, Boston University - Department of Economics.
- 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.
- Amélie Charles & Olivier Darné, 2009. "Variance ratio tests of random walk: An overview," Post-Print hal-00771078, HAL.
- Gençay, Ramazan & Signori, Daniele, 2015. "Multi-scale tests for serial correlation," Journal of Econometrics, Elsevier, vol. 184(1), pages 62-80.
- Amelie Charles & Olivier Darne, 2009.
"Testing for Random Walk Behavior in Euro Exchange Rates,"
Economie Internationale, 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.
- P Muthuramu & T Uma Maheswari, 2019. "Tests for Structural Breaks in Time Series Analysis: A Review of Recent Development," Shanlax International Journal of Economics, Shanlax Journals, vol. 7(4), pages 66-79, September.
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