Results 1 to 10 of about 1,056 (134)
Borsa Istanbul Review, 2016 This study tests for martingale difference hypothesis (MDH) in nine selected Foreign Exchange (FX) markets from Asia–Pacific countries. Its main contributions to the literature include: (i) it adopts recent techniques in both the Autocorrelation based ...
Afees A. Salisu +2 more
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Comparison of Efficiency in Cash and Future Market of Gold Coin [PDF]
تحقیقات مالی, 2021 Objective: According to the efficient market hypothesis, market efficiency refers to the condition in which prices in the markets are adjusted immediately to the new information. The speed and quality of response to new information determine the level of
Mahdi Eskandari +2 more
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The weak-form efficiency of cryptocurrencies
Research Papers in Economics and Finance, 2023 This study aimed to examine the weak-form efficiency of some of the most capitalised cryptocurrencies. The sample consisted of 24 cryptocurrencies selected out of 30 cryptocurrencies with the highest market capitalisation as of October 19, 2022 ...
Jacek Karasiński
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Testing the martingale difference hypothesis in high dimension
Journal of Econometrics, 2023 In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series. Our test is built on the sum of squares of the element-wise max-norm of the proposed matrix-valued nonlinear dependence measure at different lags.
Chang, Jinyuan +2 more
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Data-driven smooth tests for the martingale difference hypothesis [PDF]
Computational Statistics & Data Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Juan Carlos Escanciano, Silvia Mayoral
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Testing the martingale difference hypothesis using integrated regression functions [PDF]
Computational Statistics & Data Analysis, 2006 An omnibus test for testing a generalized version of the martingale difference hypothesis (MDH) is proposed. This generalized hypothesis includes the usual MDH, testing for conditional moments constancy such as conditional homoscedasticity (ARCH effects) or testing for directional predictability. A unified approach for dealing with all of these testing
Juan Carlos Escanciano, Carlos Velasco
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The adaptive market hypothesis and the return predictability in the cryptocurrency markets
Economics and Business Review, 2023 This study employs robust martingale difference hypothesis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis.
Karasiński Jacek
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Generalized spectral tests for the martingale difference hypothesis [PDF]
Journal of Econometrics, 2006 ^aThis article proposes a test for the Martingale Difference Hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram.
Escanciano, J. Carlos, Velasco, Carlos
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Small sample properties of alternative tests for martingale difference hypothesis [PDF]
Economics Letters, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Charles, Amélie +2 more
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Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
Journal of Business & Economic Statistics, 2021 This article proposes a general class of tests to examine whether the error term is a martingale difference sequence in a multivariate time series model with parametric conditional mean. These new tests are formed based on recently developed martingale difference divergence matrix (MDDM), and they provide formal tools to test the multivariate ...
Guochang Wang (500520) +2 more
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