Results 11 to 20 of about 1,091 (124)
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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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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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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Are Asian Sharīʼah-Compliant Equity Indices Predictable
Pakistan Journal of Islamic Research, 2021 This study examines the informational efficiency in the weak-form of Islamic (Sharīʼah-compliant) equity indices of selected countries by testing the Martingale Difference Hypothesis and the Random Walk Hypothesis. The study applies Automatic Portmanteau
Muhammad Umer Quddoos +2 more
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Assessing the role of spatial externalities in the survival of Italian innovative startups
Regional Science Policy &Practice, EarlyView., 2023 Abstract The paper provides novel empirical evidence about the effects of spatial externalities on the survival of innovative startups in Italy. Using geocoded firm‐level data, we build micro‐geographic measures of specialization and diversity that are robust to the modifiable areal unit problem.
Diego Giuliani +4 more
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Cogent Economics & Finance, 2020 This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies ...
Ambreen Khursheed +3 more
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Testing the martingale difference hypothesis using martingale difference divergence function
, 2023 This article proposes a novel test for the martingale difference hypothesis based on the martingale difference divergence function, a recently developed dependence measure suitable for measuring the degree of conditional mean dependence of a random variable with respect to another. First, we discuss the use of martingale difference divergence in a time
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Shrinkage Based Tests of the Martingale Difference Hypothesis [PDF]
SSRN Electronic Journal, 2006 In this paper we define a family of tests for the Martingale Difference Hypothesis (MDH) based upon a shrinkage principle. Tests within this family are such that rejection of the null implies that forecasts from the alternative model, adjusted by a shrinkage factor, will display lower Mean Square Prediction Error (MSPE) than forecasts from the null ...
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Do Financial Markets Adapt Differently? A Cross-Country Examination Using the Adaptive Market Hypothesis [PDF]
المجلة العلمية للدراسات والبحوث المالية والتجاريةPurpose: This research aims to simultaneously examine different aspects of the Adaptive Market Hypothesis (AMH) in the global financial market context, a topic of significant interest and relevance.
Mohamed Hussein Abd El-Razeek
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A Simple Out-of-Sample Test for the Martingale Difference Hypothesis [PDF]
SSRN Electronic Journal, 2013 We show that a straightforward modification of a trading based test for predictability displays interesting advantages over the Excess Profitability (EP) test (proposed by Anatolyev and Gerco) when testing the Martingale Difference Hypothesis. Our statistic is called Straightforward Excess Profitability (SEP) and avoids the calculation of a term that ...
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