Hui Jun Zhang
Selected Publications
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 […]
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 […]
Multivariate variance ratio statistics
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and […]