A multiple variance ratio test using subsampling

By Yoon-Jae Whang, Jinho Kim. 2003

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The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “To control for the overall test size, joint testing procedures have been proposed in the literature, among others by Richardson and Smith (1991), Chow and Denning (1993), Whang and Kim (2003), Chen and Deo (2006), Kim (2006) and Kim and Shamsuddin (2008).”
A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets (2007, methodology): “…VR tes–are asymptotic tests in that their sampling distributions are approximated by their limiting distributions.3 Recently, Wright (2000) and Whang and Kim (2003), respectively, have proposed two alternatives to conventional asymptotic VR tests—Wright with his “rank and sign” VR tests…”
Are Asian stock markets efficient? Evidence from new multiple variance ratio tests ☆ (2008, methodology): “Another nonparametric MVR test available is the Whang and Kim's ( 2003 ) sub-sampling test.”