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Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis [PDF]
SSRN Electronic Journal, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Todd E. Clark, Kenneth D. West
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Property Management, 2021
PurposeThe purpose of this study to evaluate the evolving market efficiency of the housing market under the framework of adaptive market hypothesis and martingale difference hypothesis taking a case of India.Design/methodology/approachThe study used a wild bootstrap version of the generalized spectral (GS) test in the rolling window framework to ...
Richa Pandey, V. Mary Jessica
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PurposeThe purpose of this study to evaluate the evolving market efficiency of the housing market under the framework of adaptive market hypothesis and martingale difference hypothesis taking a case of India.Design/methodology/approachThe study used a wild bootstrap version of the generalized spectral (GS) test in the rolling window framework to ...
Richa Pandey, V. Mary Jessica
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Testing the martingale difference hypothesis in CO2 emission allowances
Economic Modelling, 2011Abstract This study examines the martingale difference hypothesis (MDH) for the carbon emission allowance market within the European Union Emission Trading Scheme (EU ETS) during the Phase I and the Phase II, using both daily and weekly data over the 2005–2009 period. We analyze the MDH for spot prices negotiated on BlueNext, European Energy Exchange
Charles, Amélie +2 more
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TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS
Econometric Theory, 2010The martingale difference restriction is an outcome of many theoretical analyses in economics and finance. A large body of econometric literature deals with tests of that restriction. We provide new tests based on radial basis function (RBF) neural networks. Our work is based on the test design of Blake and Kapetanios (2000, 2003a, 2003b).
Kapetanios, George, Blake, Andrew P.
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Testing the martingale difference hypothesis using neural network approximations [PDF]
, 2007 The martingale difference restriction is an outcome of many theoretical analyses in economics and finance. A large body of econometric literature deals with tests of that restriction. We provide new tests based on radial basis function neural networks. Our work is based on the test design of Blake and Kapetanios (2000, 2003a,b).
George Kapetanios, Andrew P. Blake
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Economic Systems, 2012
Abstract This study investigates the effects of the recent global crisis on the relative efficiency of six CEE currency markets, using the generalized spectral test of Escanciano and Velasco (2006) in a rolling window approach. The empirical results show that the global crisis adversely affected the efficiency of most CEE currency markets, with the
Dorina Lazăr +2 more
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Abstract This study investigates the effects of the recent global crisis on the relative efficiency of six CEE currency markets, using the generalized spectral test of Escanciano and Velasco (2006) in a rolling window approach. The empirical results show that the global crisis adversely affected the efficiency of most CEE currency markets, with the
Dorina Lazăr +2 more
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A Consistent Test for the Martingale Difference Hypothesis [PDF]
, 2001 This paper considers testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has been typically tested using information contained in the second moments of a process, that is, using test statistics based on the sample autocovariances or in the periodograms.
Manuel A. Dominguez, Ignacio N. Lobato
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Size and power properties of tests of the martingale difference hypothesis: a Monte Carlo study
International Journal of Computational Economics and Econometrics, 2009This paper compares the performance of a wide range of approaches to testing the martingale difference hypothesis in economic and financial time series. An extensive Monte Carlo experiment is conducted to evaluate and compare the alternative tests under a martingale difference null hypothesis, which allows for conditional heteroskedasticity and a fat ...
Lijun Fan, Terence C. Mills
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Testing the martingale difference hypothesis in the UK stock and foreign exchange markets
2022This dissertation is concerned with testing the martingale difference hypothesis (MDH) in the returns of the UK stock indices and foreign exchange rates. The investigation has been carried on from two aspects. First, a wide range of approaches concerning testing the MDH in economic and financial time series are briefly reviewed.
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American J. of Finance and Accounting, 2014
This paper tests the finite sample properties of the Kuan and Lee's (KL) test to study market efficiency by mean of extensive Monte Carlo experiments using different data generating processes. We apply the KL test with and without wild bootstrap on the six global stock indices covering major US, European and Asian stock markets to test the martingale ...
Dilip Kumar, Srinivasan Maheswaran
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This paper tests the finite sample properties of the Kuan and Lee's (KL) test to study market efficiency by mean of extensive Monte Carlo experiments using different data generating processes. We apply the KL test with and without wild bootstrap on the six global stock indices covering major US, European and Asian stock markets to test the martingale ...
Dilip Kumar, Srinivasan Maheswaran
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