Results 111 to 120 of about 1,091 (124)

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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Testing the martingale difference hypothesis in the UK stock and foreign exchange markets

2022
This 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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Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets

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, Alexandru Todea, Diana Filip   +2 more
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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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Covariate hypothesis tests for the cure rate in mixture cure models based on martingale difference correlation

Statistical Methods in Medical Research
Cure models are a class of survival models used to analyze time-to-event data that allow the possibility that the event never occurs for a certain percentage 1 − p
Blanca E Monroy-Castillo, María Amalia Jácome, Ricardo Cao, Ingrid Van Keilegom   +3 more
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Panel unit root testing and the martingale difference hypothesis for German stocks [PDF]

Economics Bulletin, 2009
Several panel unit root tests based on different ways to account for cross-unit dependence are reviewed. The note then illustrates the tests by checking whether the martingale difference hypothesis is appropriate for stock prices on the German stock market: according to the martingale difference hypothesis, logarithmized stock prices follow an ...
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Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models

Journal of Business and Economic Statistics, 2022
, Ke Zhu, Guochang Wang
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An Automatic MDDM-Based Test for Martingale Difference Hypothesis

Statistica Sinica
Chenglong Zhong, Guochang Wang
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Testing the martingale difference hypothesis for the Nordic power derivatives market

The Journal of Energy Markets, 2013
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Fourier–type tests involving martingale difference processes

Econometric Reviews, 2017
Claudia Kirch, , Zdenek Hlavka
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