Robust tests of the random walk hypothesis

Quantitative Finance

Volumn 4, Issue 6, 2004, Pages 57-60

  Reschenhofer, Erhard ^a  

^a UNIVERSITY OF VIENNA   (Austria)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 18444402762     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680500040322     Document Type: Article

References (9)

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3. Bollerslev T 2001 Financial econometrics: past developments and future challenges J. Econometrics 100 41-51
4. Bouchaud J-P, Matacz A and Potters M 2001 The leverage effect in financial markets: retarded volatility and market panic Phys. Rev. Lett. 87 228701
5. Campbell J Y, Lo A W and MacKinlay A C 1997 The Econometrics of Financial Markets (Princeton: Princeton University Press)
6. Deo R S (2000) Spectral tests of the martingale hypothesis under conditional heteroscedasticity J. Econometrics 99 291-315
7. Lo A W and MacKinlay A C 1988 Stock prices do not follow random walks: evidence from a simple specification test Rev. Financ. Studies 1 41-66
8. Reschenhofer E 2004 Unexpected features of financial time series: higher order anomalies and predictability J. Data Science 2 1-15
9. Taylor S J 1984 Estimating the variance of autocorrelations calculated from financial time series Appl. Stat. 33 300-8