Lim, Kian-Ping; Luo, Weiwei; Kim, Jae H. - In: Applied Economics 45 (2013) 8, pp. 953-962
This article re-examines the evidence of return predictability for three major US stock indices using two recently developed data-driven tests, namely the automatic portmanteau Box--Pierce test and the wild bootstrapped automatic variance ratio test. In tracking the time variation of return...