Hui Jun Zhang

Selected Publications

Journal Article
Working Paper
An Investigation into Multivariate Variance Ratio Statistics and their Application to Stock Market Predictability

We propose several multivariate variance ratio statistics for “testing” the weak form Efficient Market Hypothesis and […]

Seok Young Hong, Oliver Linton, Hui Jun Zhang
21 March 2017 | Journal Article
An investigation into multivariate variance ratio statistics and their application to stock market predictability

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and […]

Seok Young Hong, Oliver Linton, Hui Jun Zhang
24 March 2015 | CWP13/15
Multivariate variance ratio statistics

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and […]

Seok Young Hong, Oliver Linton, Hui Jun Zhang
6 June 2014 | CWP29/14
1