Alternative Variance-Ratio Tests Using Ranks and Signs

By Jonathan H. Wright. 2000

406 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d93e80ddb67584dd122217671f8128093fea51a9

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Citations in the corpus

The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “A notable recent innovation of the VR test includes non-parametric tests proposed by Wright (2000) based on signs and ranks of returns that follow exact distributions.”
Efficient market hypothesis in European stock markets (2008, background): “Noting that the Lo–Mackinlay tests are biased and right-skewed in finite samples, Wright (2000) proposes a non-parametric alternative to conventional asymptotic VR tests, using ranks and signs.”
Efficiency in emerging markets--Evidence from the MENA region (2008, methodology): “We use Wright (2000) variance ratio tests based on ranks.”
Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity (2003, methodology): “The foreign exchanges and the time period considered are the same as in Wright (2000), although the data source is di erent.”
A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets (2007, background): “…forerunner–Lo– MacKinlay 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…”
VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009, positive): “In this respect, Wright (2000) proposed a nonparametric 9Deo and Richardson (2003) advocated that large values of k should not be used when testing for the mean reversion using the VR statistics.”
A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit (2007, positive): “The nonparametric tests are more powerful than the conventional VR tests when return data are highly nonnormal and nonstationary (Wright, 2000).”
Are Asian stock markets efficient? Evidence from new multiple variance ratio tests ☆ (2008, methodology): “The runs test and Wright's ( 2000 ) nonparametric single variance test are used to test the RWH on weekly indices from October 1994 to December 2003.”