Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis

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Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, methodology): “When comparing the power properties of AQ and WBAVR tests for small sample sizes (i.e. 100, 300 and 500), Charles et al. (2011) report that the WBAVR test possesses higher power against a wide range of linear and nonlinear models.”
Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates (2012, unknown): “Recently, Charles et al. (2011) conduct an extensive Monte Carlo experiment to find that the wild bootstrap AVR test of Kim (2009), the generalized spectral shape (GSS) test of Escansiano and Velasco (2006) and the consistent test of Domínguez and Lobato (2003) (called DL hereafter) give higher…”