Spectral based testing of the martingale hypothesis (Q1185208): Difference between revisions
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Revision as of 14:28, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Spectral based testing of the martingale hypothesis |
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Spectral based testing of the martingale hypothesis (English)
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28 June 1992
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This paper proposes a method of testing whether a time series is a martingale. A general asymptotic theory is developed for the spectral distribution function of the first differences. Several tests are developed which determine whether the sample spectral distribution function is shaped as a straight line. Applications to stock prices are given.
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martingale hypothesis
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MA alternatives
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power
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subsets of frequencies
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random walk theory
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time series
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asymptotic theory
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spectral distribution function
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stock prices
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