tests under a martingale difference null hypothesis, which allows for conditional heteroskedasticity and a fat tailed …

This study utilizes tests based on ranks and signs suggested by Wright (2000), in addition to the traditional variance …

. The purpose of this paper is to extend his work by making the estimation procedure robust to heteroskedasticity and by … addressing the multiple hypothesis testing problem. Design/methodology/approach – Unbiased, heteroskedasticity consistent … fractionality. Findings – Failing to account for bias, heteroskedasticity, and multiplicity of testing can lead to large numbers of …