A variance ratio test of the behaviour of some FTSE equity indices using ranks and signs

Review of Quantitative Finance and Accounting

Volumn 24, Issue 1, 2005, Pages 93-107

  Belaire Franch, Jorge ^a   Opong, Kwaku K ^b  

^a UNIVERSITY OF VALENCIA   (Spain)

^b UNIVERSITY OF GLASGOW   (United Kingdom)

Author keywords

Heteroskedasticity; Martingale difference; Random walk; Ranks; Signs; Variance ratio

Indexed keywords

EID: 21244462420     PISSN: 0924865X     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11156-005-5328-3     Document Type: Article

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