This paper reviews the recent developments in the field of the variance‐ratio (VR) tests of
the random walk and martingale hypothesis. In particular, we present the conventional …

This paper examines the dynamic short-and long-run asymmetric interactions and causality
between real economic activity and stock and gold markets volatility shocks using both the …

This paper proposes the degree of interdependence between the prices of crude oil and
gross domestic product (GDP) of leading of countries such as Saudi Arabia and as the main …

This paper proposes the volatility spillover effect between stock and foreign exchange
markets in both directions in oil exporting countries-Russia and Brazil. The data sample …

This paper re-visits the Efficient Market Hypothesis for 31 of the top market-cap
cryptocurrencies using various panel tests. We first examine cross-sectional dependence in …

This article applies univariate and panel data unit root tests to annual panel data for 182
countries over the period 1979–2000 to examine the stationarity properties of per capita …

This paper investigates the short-and long-run behavior of major emerging Central
European (Poland, Czech Republic, Hungary, Slovakia), and developed (Germany, US) …

This paper investigates whether the efficient market hypothesis holds in stock markets under
different economic development levels over the period January 1999 to May 2007. We …

This study applies the panel stationarity test developed by [Carrion-i-Silvestre et al 2005.
Breaking the panels: An application to GDP per capita. Econometrics Journal 8, 159–175] to …

In this paper, a multi-objective portfolio optimization problem is studied in an uncertain
random environment using higher moments. We consider a scenario involving an asset …