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Seongman Moon

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Articles

Variance Ratio Tests for Panels With Cross-Section Dependence

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By Seongman Moon, Carlos Velasco
| Wiley Online Library Verified
1 Introduction Variance ratio tests have been widely used in empirical finance to test the random walk hypothesis for asset price movements.1 They are based on the comparison on variance estimates of the return series using different increment intervals , and also translate into weighted sums of the serial correlation coefficients up to an horizon , providing detailed information on the direction and persistence of possible departures from the white noise hypothesis.
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