In this note we study whether simple technical trading rules are profitable on the three Baltic stock markets. To statistically assess our findings we consider the conventional t-test and a block-bootstrap procedure. The two evaluation methods give conflicting results. The t-test supports some...

Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of...