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Testing the martingale hypothesis
Phillips, Peter C. B.; Jin, Sainan - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 537-554
Persistent link: https://www.econbiz.de/10010488434
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Mean Ratio Statistic for measuring predictability
Linton, Oliver; Smetanina, Katja - 2015
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the...
Persistent link: https://www.econbiz.de/10010481079
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Efficient market hypothesis in European stock markets
Borges, Maria Rosa - In: The European journal of finance 16 (2010) 7, pp. 711-726
Persistent link: https://www.econbiz.de/10008759387
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A martingale approach for testing diffusion models based on infinitesimal operator
Song, Zhaogang - In: Journal of econometrics 162 (2011) 2, pp. 189-212
Persistent link: https://www.econbiz.de/10009270656
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A test for the rank of the volatility process : the random perturbation approach
Jacod, Jean; Podolskij, Mark - 2012
Persistent link: https://www.econbiz.de/10009682608
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Comparative testing of experts
Najjar, Nabil I. al-; Weinstein, Jonathan - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 3, pp. 541-559
Persistent link: https://www.econbiz.de/10003721907
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Distribution-free specification tests of conditional models
Delgado, Miguel A.; Stute, Winfried - In: Journal of econometrics 143 (2008) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10003722590
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A test of the martingale hypothesis
Park, Joon Y. (contributor); Whang, Joon-Jae (contributor) - 2004
Persistent link: https://www.econbiz.de/10003273669
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Sign tests for dependent observations
Ibragimov, Rustam (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003242872
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Power variation and time change
Barndorff-Nielsen, Ole E. (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700