Yang, Jian; Su, Xiaojing; Kolari, James W. - In: Journal of Banking & Finance 32 (2008) 5, pp. 729-740
Traditional autocorrelation and variance ratio tests are based on serial uncorrelatedness rather than martingale difference. As such, they do not capture potential nonlinearity-in-mean, which could lead to misleading inferences in favor of the martingale hypothesis. This paper employs various...
