Premium
VARIANCE‐RATIO TESTS OF RANDOM WALK: AN OVERVIEW
Author(s) -
Charles Amélie,
Darné Olivier
Publication year - 2009
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/j.1467-6419.2008.00570.x
Subject(s) - random walk , econometrics , economics , random walk hypothesis , martingale (probability theory) , variance (accounting) , equity (law) , statistics , mathematics , geography , political science , context (archaeology) , accounting , archaeology , stock market , law
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.