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Testing the random walk hypothesis through robust estimation of correlation

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  • Semenov, Andrei

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  • Semenov, Andrei, 2008. "Testing the random walk hypothesis through robust estimation of correlation," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2504-2513, January.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:5:p:2504-2513
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    References listed on IDEAS

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    1. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Wright, Jonathan H, 2000. "Alternative Variance-Ratio Tests Using Ranks and Signs," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 1-9, January.
    4. Stephen J. Taylor, 1984. "Estimating the Variances of Autocorrelations Calculated from Financial Time Series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 33(3), pages 300-308, November.
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    Cited by:

    1. Tasadduq Imam & Kevin Tickle & Abdullahi Ahmed & William Guo, 2012. "Linear Relationship Between The Aud/Usd Exchange Rate And The Respective Stock Market Indices: A Computational Finance Perspective," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(1), pages 19-42, January.
    2. Semenov, Andrei, 2015. "The small-cap effect in the predictability of individual stock returns," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 178-197.

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