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Browsing Economic and Management Sciences by Subject "Variance ratio tests"

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The efficiency of the art market : evidence from variance ratio tests, linear and nonlinear fractional integration approaches

Aye, Goodness Chioma; Gil-Alana, Luis A.; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2017-09)

This paper investigates the weak-form efficiency hypothesis for the art market. We consider 15 art price indices namely: Contemporary, Drawings, France, Global index (Euro), Global index (USD), Modern art, Nineteenth ...

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