A locally asymptotically optimal test is constructed for log-return processes. The behavior of the test statistic is studied under the null and under a sequence of local alternatives. A local asymptotic normality (LAN) result is previously established. Applying the test to log-return data, one rejects the hypothesis that they are independent and identically distributed (iid).
"A Locally Asymptotically Optimal Test With Application to Financial Data." Afr. Diaspora J. Math. (N.S.) 21 (1) 57 - 72, 2018.