Results 1 to 10 of about 1,064 (97)

Testing for martingale difference hypothesis with structural breaks: Evidence from Asia–Pacific foreign exchange markets

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, Tirimisiyu F. Oloko, Oluwatomisin J. Oyewole   +2 more
doaj   +4 more sources

Testing the martingale difference hypothesis using integrated regression functions [PDF]

Computational Statistics and 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
CARLOS Velasco, J CARLOS Escanciano
exaly   +6 more sources

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.
, Jinyuan Chang
exaly   +4 more sources

Small sample properties of alternative tests for martingale difference hypothesis [PDF]

Economics Letters, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jae Kim, Olivier Darne, Amélie Charles   +2 more
exaly   +5 more sources

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.
CARLOS Velasco, J CARLOS Escanciano
exaly   +5 more sources

A Deep Learning Test of the Martingale Difference Hypothesis

Journal of Forecasting
A deep learning binary classifier is proposed to test if asset returns follow martingale difference sequences. The Neyman-Pearson classification paradigm is applied to control the type I error of the test. In Monte Carlo simulations, I find that this approach has better power properties than variance ratio and portmanteau tests against several ...
João Bastos
exaly   +4 more sources

Testing the Martingale Difference Hypothesis in the European Emerging Unit-linked Insurance Markets

Procedia Economics and Finance, 2012
Abstract This study examines the martingale difference hypothesis (MDH) for the European emerging unit-linked insurance markets, using the automatic portmanteau (AQ) test of Escanciano and Lobato, 2009 for the three sub-periods of pre-crisis, crisis, and post-crisis.
exaly   +2 more sources

MDCcure: An R package for martingale difference correlation and hypothesis testing in mixture cure models

Computer Methods and Programs in Biomedicine
Understanding the relationship between covariates and clinical outcomes is a fundamental goal in biostatistics, particularly in the context of survival analysis and cure models. Traditional methods often lack the flexibility to assess complex dependencies or to evaluate covariate effects in a nonparametric manner.
M A Jacome, Ricardo Cao, Blanca E Monroy-Castillo   +2 more
exaly   +4 more sources

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, Ali Saeedi, Mirfeiz Fallah Shams   +2 more
doaj   +1 more source

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
doaj   +1 more source