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Journal of Applied Mathematics and Decision Sciences
Volume 2006, Article ID 12314, 21 pages
http://dx.doi.org/10.1155/JAMDS/2006/12314

New variance ratio tests to identify random walk from the general mean reversion model

1Department of Finance & Decision Sciences, Hong Kong Baptist University, Hong Kong
2Dental Public Health, The University of Hong Kong, Hong Kong
3Department of Economics, Faculty of Arts & Social Sciences, National University of Singapore, 1 Arts Link, Singapore 117570

Received 13 June 2005; Revised 30 November 2005; Accepted 9 December 2005

Copyright © 2006 Kin Lam et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

How to Cite this Article

Kin Lam, May Chun Mei Wong, and Wing-Keung Wong, “New variance ratio tests to identify random walk from the general mean reversion model,” Journal of Applied Mathematics and Decision Sciences, vol. 2006, Article ID 12314, 21 pages, 2006. https://doi.org/10.1155/JAMDS/2006/12314.