The Time-Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Process
使用允许参数随时间变化的检验统计量，研究证券收益的时变方差关系，发现收益序列不满足平稳独立增量假设，并存在短期反转现象。
Using a test statistic which specifically allows for parameter shifts over time, we investigate the time-variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short-term reversal phenomenon is reported.