endogenously as full support martingale measures (instead of equivalent martingale measures). A variant of the Harrison …

and the existence of an equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

function is evaluated using the martingale approach. The equivalent martingale measure is introduced in a way that the Markov …

The martingale difference restriction is an outcome of many theoretical analyses in economics and finance. A large body … performance to all existing tests of the martingale difference hypothesis we consider. An empirical application to the S&P500 …