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A variance ratio test of the behaviour of some FTSE equity indices using ranks and signs
Belaire-Franch, Jorge; Opong, Kwaku K. - In: Review of quantitative finance and accounting 24 (2005) 1, pp. 93-107
Persistent link: https://www.econbiz.de/10002627139
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A new test of the martingale difference hypothesis
Kuan, Chung-ming (contributor); Lee, Wei-Ming (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 4
Persistent link: https://www.econbiz.de/10002652254
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Testing the martingale difference hypothesis
Domínguez, Manuel A.; Lobato, Ignacio N. - In: Econometric reviews 22 (2003) 4, pp. 351-377
Persistent link: https://www.econbiz.de/10001843550
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A new test of the martingale difference hypothesis
Kuan, Chung-ming (contributor); Lee, Wei-ming (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001926905
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An out-of-sample, nonparametric test of the Martingale difference hypothesis
McCracken, Michael W. - In: Applying Kernel and nonparametric estimation to …, (pp. 49-75). 2000
Persistent link: https://www.econbiz.de/10001548462
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Shrinkage Based Tests of the Martingale Difference Hypothesis
Pincheira, Pablo M. - 2012
In this paper we define a family of tests for the Martingale Difference Hypothesis (MDH) based upon a shrinkage …
Persistent link: https://www.econbiz.de/10013107216
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Evolution of the housing market under the framework of adaptive market hypothesis and martingale difference hypothesis : a case of India
Pandey, Richa; Jessica, V. Mary - In: Property management 40 (2022) 1, pp. 17-28
Persistent link: https://www.econbiz.de/10013169931
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Spectral Based Testing of the Martingale Hypothesis
Durlauf, Steven - 2007
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/10012776740
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Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas
Can, Sami - 2017
Consider a random sample from a continuous multivariate distribution function F with copula C. In order to test the null hypothesis that C belongs to a certain parametric family, we construct an under H0 asymptotically distribution-free process that serves as a tests generator. The process is a...
Persistent link: https://www.econbiz.de/10012941154
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Adaptive market hypothesis : the story of the stock markets and COVID-19 pandemic
Okorie, David Iheke; Lin, Boqiang - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012822166