Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
Year of publication: |
2010-11
|
---|---|
Authors: | Charles, Amélie ; Darné, Olivier ; Kim, Jae H |
Institutions: | Department of Economics and Finance, La Trobe Business School |
Subject: | Monte Carlo experiment | Non-linear dependence | Portmanteau test | Variance ratio test EDIRC Provider-Institution: RePEc:edi:smlatau |
-
Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
Charles, Amélie, (2010)
-
Hill, Jonathan B., (2005)
-
Portmanteau goodness-of-fit test for asymmetric power GARCH models
Carbon, Michel, (2010)
- More ...
-
Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
Charles, Amélie, (2010)
-
Kim, Jae H, (2010)
-
Short-Horizon Return Predictability in International Equity Markets
Shamsuddin, Abul, (2009)
- More ...