Search Results - subject:"Martingale difference"

A New Test of the Martingale Difference Hypothesis

Kuan, Chung-Ming; Lee, Wei-Ming - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 4, pp. 1191-1191

In this paper we propose a new class of tests for the martingale difference hypothesis based on the moment conditions …

Persistent link: https://www.econbiz.de/10004966225

Testing the Martingale Difference Hypothesis Using Neural Network Approximations

Kapetanios, George; Blake, Andrew P. - School of Economics and Finance, Queen Mary - 2007

The martingale difference restriction is an outcome of many theoretical analyses in economics and finance. A large body … performance to all existing tests of the martingale difference hypothesis we consider. An empirical application to the S&P500 …

Persistent link: https://www.econbiz.de/10005106462

An Empirical Re-Examination of the Weak Form Efficient Markets Hypothesis of the Ghana Stock Market Using Variance-Ratios Tests

Ntim, Collins G.; Opong, Kwaku K.; Danbolt, Jo - In: The African Finance Journal 9 (2007) 2, pp. 1-25

martingale difference sequence sense. Unlike previous evidence, our finding is robust to thin-trading, sub-sample periods as well …

Persistent link: https://www.econbiz.de/10008503532

Nonparametric Regression Estimation for Random Fields in a Fixed-Design

Machkouri, Mohamed - In: Statistical Inference for Stochastic Processes 10 (2007) 1, pp. 29-47

Persistent link: https://www.econbiz.de/10005184582

Generalized linear autoregressions

Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 1995

This paper develops a class of autoregressive and moving average models which extend the generalized linear model. Likelihood and quasi-likelihood estimation procedures are developed which allow the models to be easily estimated and tested. Several examples are given which illustrate the...

Persistent link: https://www.econbiz.de/10005730355

A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs

Belaire-Franch, Jorge; Opong, Kwaku - In: Review of Quantitative Finance and Accounting 24 (2005) 1, pp. 93-107

the null hypothesis of martingale difference behaviour of the index returns series examined in the study is rejected. The … use of the nonparametric based variance ratio tests provide stronger evidence against the martingale difference behaviour …

Persistent link: https://www.econbiz.de/10005673811

A New Test of the Martingale Difference Hypothesis

Kuan, Chung-Ming; Lee, Wei-Ming - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 4, pp. 1191-1191

In this paper we propose a new class of tests for the martingale difference hypothesis based on the moment conditions …

Persistent link: https://www.econbiz.de/10005459049

Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions

Lee, Tae-Hwy; Hong, Yongmiao - Econometric Society - 2004

martingale difference (MD). The one-step forecast error forms the conditional moment condition obtained from the loss derivative …

Persistent link: https://www.econbiz.de/10005329017

A martingale inequality and large deviations

Li, Yulin - In: Statistics & Probability Letters 62 (2003) 3, pp. 317-321

Let (Xi) be a martingale difference sequence and let Sn=[summation operator]i=1nXi. Suppose (Xi) is bounded in Lp. In …

Persistent link: https://www.econbiz.de/10005074781

Strong consistency of conditional least squares estimators in multiple regime threshold autoregressive models

Schoier, Gabriella - In: Statistical Methods and Applications 8 (1999) 1, pp. 75-82

Persistent link: https://www.econbiz.de/10008497242