Results 101 to 110 of about 1,091 (124)

Runtime Monitoring of Static Fairness Properties

Henzinger TA, Karimi M, Kueffner K, Mallik K.   +3 more
europepmc   +1 more source

A New Test of the Martingale Difference Hypothesis [PDF]

Studies in Nonlinear Dynamics and Econometrics, 2004
In this paper we propose a new class of tests for the martingale difference hypothesis based on the moment conditions derived by Bierens (1982). In contrast with the existing consistent tests, the proposed test has a standard limiting distribution and is easy to implement. Comparing with many commonly used autocorrelation- and spectrum-based tests, it
Wei-Ming Lee, Chung-Ming Kuan
exaly   +2 more sources

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Evolution of the housing market under the framework of adaptive market hypothesis and martingale difference hypothesis: a case of India

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
exaly   +2 more sources

Testing the Martingale Difference Hypothesis

Econometric Reviews, 2003
In this paper we consider testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has typically been tested using information contained in the second moments of a process, that is, using test statistics based on the sample autocovariances or periodograms.
Ignacio Lobato
exaly   +2 more sources

Testing the Martingale Difference Hypothesis (MDH) with Structural Breaks: Evidence from Foreign Exchanges of Nigeria and South Africa

Journal of African Business, 2016
This study tests for MDH in two prominent foreign exchange (FX) markets in Africa, Nigeria and South Africa using three benchmark currencies (euro, dollar and pound sterling). Data utilized cover time series closing rate data set of five-day weekly frequency spanning December 14, 2001 to September 26, 2014.
Afees Salisu
exaly   +2 more sources

Size and power properties of tests of the martingale difference hypothesis: a Monte Carlo study

International Journal of Computational Economics and Econometrics, 2009
This 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 ...
Terence Mills
exaly   +2 more sources

Are major global stock markets efficient? An application of the martingale difference hypothesis with wild bootstrap

American Journal 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
exaly   +2 more sources

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
openaire   +2 more sources

Testing the martingale difference hypothesis in CO2 emission allowances

Economic Modelling, 2011
Abstract 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, Darné, Olivier, Fouilloux, Jessica   +2 more
openaire   +3 more sources

TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS

Econometric Theory, 2010
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 (RBF) neural networks. Our work is based on the test design of Blake and Kapetanios (2000, 2003a, 2003b).
Kapetanios, George, Blake, Andrew P.
openaire   +2 more sources