The spectral density estimation has had significant importance in empirical research in the past decades, especially in the field of Heteroskedasticity and Autocorrelation Consistent (HAC) covariance matrix estimation and in the random walk theory. The aim of this paper is to find a universal...

We perform variance ratio tests based on non-parametric methods to detect the size of the random walk component of the US art auction prices. The past 134 years of the US art prices exhibit large transitory component (72%) and based on this, the random walk hypothesis does not hold. However,...