An Unbiased Reexamination of Stock Market Volatility
提出新的小样本无偏且不要求平稳性假设的波动性检验，结果仍拒绝理性预期和恒定权益回报率模型。
ABSTRACT Recent work demonstrates serious statistical problems with standard volatility tests. This paper proposes new tests that are unbiased in small samples and that do not require assumptions of stationarity. The new tests continue to find evidence against the model positing rational expectations and a constant required rate of return on equity.