Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - Faculteit der Economische Wetenschappen en … - 1997
Market efficiency tests that rely on the martingale difference be-havior of returns can be based on various volatility measures. This paper argues that, to be able to differentiate between dependence and fat-tailedness. one should look simultaneously at plots based on ab-solute returns and...