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Spectral Based Testing of the Martingale Hypothesis
Durlauf, Steven N. - 1992
This paper proposes a method of testing whether a time series is a martingale. The procedure develops an asymptotic …
Persistent link: https://www.econbiz.de/10012474938
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Analyzing the Spectrum of Asset Returns : Jump and Volatility Components in High Frequency Data
Aït-Sahalia, Yacine - 2010
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...
Persistent link: https://www.econbiz.de/10012462842
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Some Simple Bitcoin Economics
Schilling, Linda - 2018
How do Bitcoin prices evolve? What are the consequences for monetary policy? We answer these questions in a novel, yet simple endowment economy. There are two types of money, both useful for transactions: Bitcoins and Dollars. A central bank keeps the real value of Dollars constant, while...
Persistent link: https://www.econbiz.de/10012453232
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A Relationship Between Regression Tests and Volatility Tests of Market ncy
Frankel, Jeffrey A. - 1983
Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …
Persistent link: https://www.econbiz.de/10012477997
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A Martingale Representation for Matching Estimators
Abadie, Alberto - 2009
article establishes a martingale representation for matching estimators. This representation allows the use of martingale …
Persistent link: https://www.econbiz.de/10012463891
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Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
Clark, Todd E. - 2005
a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no …
Persistent link: https://www.econbiz.de/10012467602
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Fads, Martingales, and Market Efficiency
Lehmann, Bruce N. - 1988
Much of the theoretical basis for current monetary and financial theory rests on the economic efficiency of financial markets. Not surprisingly, considerable effort has been expended to test the efficient markets hypothesis, usually by examination of the predictability of equity returns....
Persistent link: https://www.econbiz.de/10012476533
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Encompassing Tests When No Model Is Encompassing
West, Kenneth D. - 2000
This paper considers regression-based tests for encompassing, when none of the models under consideration encompasses all the other models. For both in- and out-of-sample applications, I derive asymptotic distributions and propose feasible procedures to construct confidence intervals and test...
Persistent link: https://www.econbiz.de/10012471033
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Expectations Hypotheses Tests
Bekaert, Geert - 2000
We investigate the Expectations Hypotheses of the term structure of interest rates and of the foreign exchange market using vector autoregressive methods for the U.S. dollar, Deutsche mark, and British pound interest rates and exchange rates. In addition to standard Wald tests, we formulate...
Persistent link: https://www.econbiz.de/10012471161
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Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price
Taylor, Alan M. - 2000
The PPP puzzle is based on empirical evidence that international price differences for individual goods (LOOP) or baskets of goods (PPP) appear highly persistent or even non-stationary. The present consensus is these price differences have a half-life that is of the order of five years at best,...
Persistent link: https://www.econbiz.de/10012471192