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Belaire-Franch, J. and Contreras, D. (2004) Rank and Sign Based Multiple Variance Ratio Tests. Working Paper, Department of Economic Analysis, University of Valencia.

has been cited by the following article:

• TITLE: Weighted Bootstrap Approach for the Variance Ratio Tests: A Test of Market Efficiency

  AUTHORS: Dilip Kumar

  KEYWORDS: Monte Carlo Experiment, Weighted Bootstrap, Variance Ratio, Return Predictability

  JOURNAL NAME: Theoretical Economics Letters, Vol.6 No.3, June 3, 2016

  ABSTRACT: By means of Monte Carlo experiments using the weighted bootstrap, we evaluate the size and power properties in small samples of Chow and Denning’s [1] multiple variance ratio test and the automatic variance ratio test of Choi [2]. Our results indicate that the weighted bootstrap tests exhibit desirable size properties and substantially higher power than corresponding conventional tests.