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Forecasting with a random walk

Pincheira, Pablo; Medel, Carlos A. - In: Finance a úvěr 66 (2016) 6, pp. 539-564

Persistent link: https://www.econbiz.de/10011582646

Nonparametric regression with nearly integrated regressors under long-run dependence

Cai, Zongwu; Jing, Bingyi; Kong, Xinbing; Liu, Zhi - In: The econometrics journal 20 (2017) 1, pp. 118-138

Persistent link: https://www.econbiz.de/10011719971

Is violation of the random walk assumption an exception or a rule in capital markets?

Dittrich, Ludwig O.; Srbek, Pavel - In: Atlantic economic journal : AEJ 48 (2020) 4, pp. 491-501

Persistent link: https://www.econbiz.de/10012485200

The existence of random walk in the Philippine stock market : evidence from unit root and variance-ratio tests

Camba, Abraham C. <Jr>; Camba, Aileen L. - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 10, pp. 523-530

Persistent link: https://www.econbiz.de/10012671436

Pitfalls in bootstrapping spurious regression

Phillips, Peter C. B. - In: Journal of quantitative economics 19 (2021), pp. 163-217

Persistent link: https://www.econbiz.de/10013441715

A class of strict local martingales

Herdegen, Martin; Herrmann, Sebastian - 2014

Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given deterministic function up to a random time γ at which...

Persistent link: https://www.econbiz.de/10010338742