THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS

By Willa W. Chen, Rohit S. Deo. Econometric Theory, 2006

79 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/559726350d086ce7b52881b045118bdf167c10a2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. K. Lim
2. R. Brooks
3. Jae Hyun Kim
4. Abul Shamsuddin
5. Maria Rosa Borges
6. Wei Luo
7. Andrew Urquhart
8. Esther Ruiz

In Statistics and Probability

1. K. Lim
2. Abul Shamsuddin
3. R. Brooks
4. Jae Hyun Kim
5. Maria Rosa Borges
6. Olivier Darné
7. Amélie Charles
8. Jeffrey Chu

Citations in the corpus

• The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “A list of those empirical studies published over the 1985–2005 period is provided by Lim et al. (2006).”
• Are Asian stock markets efficient? Evidence from new multiple variance ratio tests ☆ (2008, methodology): “This study adopts new Multiple Variance Ratio (MVR) tests, proposed recently by Chen and Deo ( 2006 ), Kim ( 2006 ) and Kim and Shamsuddin ( 2008 ).”
• VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009, unknown): “Chen and Deo (2006) showed that the stochastic volatility and GARCH models satisfy Assumptions B1-B6.”