vrtest: Variance Ratio tests and other tests for Martingale Difference Hypothesis. A collection of statistical tests for martingale difference hypothesis
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References in zbMATH (referenced in 3 articles )
Showing results 1 to 3 of 3.
- Kim, Jae H.; Shamsuddin, Abul: A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests (2015)
- Kelly, Morgan; Gráda, Cormac Ó.: Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age? (2014)
- Strandberg, Alicia Graziosi; Iglewicz, Boris: Detecting randomness: a review of existing tests with new comparisons (2014)