Alternative Variance-Ratio Tests Using Ranks and Signs

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Nonparametrics: Statistical Methods Based on Ranks

1979 • 3,437 citations

Nonparametrics: Statistical Methods Based on Ranks.

1976 • 2,118 citations

Autoregressive Conditional Density Estimation

1994 • 1,570 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Lehmann, E. L., Nonparametrics: Statistical Methods Based on Ranks, San Francisco. Holden-Day, Inc., 1975. 480 S., $ 22.95 .

1977 • 811 citations

The size and power of the variance ratio test in finite samples

1989 • 523 citations

Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

1991 • 458 citations

Drawing inferences from statistics based on multiyear asset returns

1989 • 434 citations

Long Memory in Foreign-Exchange Rates

1993 • 317 citations

A Variance‐Ratio Test of Random Walks in Foreign Exchange Rates

1991 • 261 citations

Long Memory in Foreign-Exchange Rates

1993 • 156 citations

RANK TESTS FOR SERIAL DEPENDENCE

1981 • 80 citations

Exact Nonparametric Orthogonality and Random Walk Tests

1995 • 78 citations

3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation

2011 • 73 citations

Robust Rank Tests of the Unit Root Hypothesis

1997 • 72 citations

Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter

1997 • 69 citations

Rank tests for unit roots

1997 • 66 citations