Goyet, Cédric de Ville de; Dhaene, Geert; Sercu, Piet - In: Journal of Futures Markets 28 (2008) 11, pp. 1040-1065
The martingale hypothesis for futures prices is investigated using a nonparametric approach where it is assumed that the expected futures returns depend (nonparametrically) on a linear combination of predictors. We first collapse the predictors into a single‐index variable where the weights...