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A Simple Multiple Variance-Ratio Test Based on Ranks

Author

Listed:
  • Gilbert Colletaz

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

Abstract

Using Chow and Denning's arguments applied to the individual hypothesis test methodology of Wright (2000) I propose a multiple variance-ratio test based on ranks to investigate the hypothesis of no serial coorelation. This rank joint test can be exact if data are i.i.d.. Some Monte Carlo simulations show that its size distortions are small for observations obeying the martingale hypothesis while not being and i.i.d. process. Also, regarding size and power, it compares favorably with other popular tests.

Suggested Citation

  • Gilbert Colletaz, 2006. "A Simple Multiple Variance-Ratio Test Based on Ranks," Working Papers halshs-00007801, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00007801
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00007801
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    Cited by:

    1. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.

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