A simple multiple variance ratio test
Top Cited Papers
- 1 March 2002
- journal article
- Published by Elsevier
- Vol. 58 (3) , 385-401
- https://doi.org/10.1016/0304-4076(93)90051-6
Abstract
No abstract availableKeywords
This publication has 23 references indexed in Scilit:
- Long-Term Memory in Stock Market PricesEconometrica, 1991
- Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.The Journal of Finance, 1991
- Mean Reversion in Stock Prices? A Reappraisal of the Empirical EvidenceThe Review of Economic Studies, 1991
- Evidence of Predictable Behavior of Security ReturnsThe Journal of Finance, 1990
- Permanent and Temporary Components of Stock PricesJournal of Political Economy, 1988
- Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification TestThe Review of Financial Studies, 1988
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit RootEconometrica, 1981
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979
- Some generalizations of the T-method in simultaneous inferenceJournal of Multivariate Analysis, 1974
- A table of percentage points of the distribution of the largest absolute value of k Student t variates and its applicationsBiometrika, 1971