a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no …

This paper proposes a method of testing whether a time series is a martingale. The procedure develops an asymptotic …

article establishes a martingale representation for matching estimators. This representation allows the use of martingale …

simplest form implies that Bitcoin prices form a martingale. We derive conditions, under which Bitcoin speculation cannot …

speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in … producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers … associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage …

We study the implications of hedging for firm financing and investment. We do so using an extensive, hand …-collected dataset on corporate hedging activities. Hedging can lower the odds of negative firm realizations, reducing the expected costs … channels (cost of borrowing and investment restrictions) through which hedging affects corporate outcomes. The analysis we …