VARIANCE‐RATIO TESTS OF RANDOM WALK: AN OVERVIEW
综述了随机游走和鞅假设的方差比检验的最新进展，包括传统检验及其改进方法，并重新检验了拉丁美洲五个新兴股票市场的弱式有效性。
Abstract This paper reviews the recent developments in the field of the variance‐ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power‐transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re‐examine the weak‐form efficiency for five emerging equity markets in Latin America.