Generalized spectral tests for the martingale difference hypothesis

DOI10.1016/J.JECONOM.2005.06.019zbMath1418.62320OpenAlexW1994321501MaRDI QIDQ278047

Juan Carlos Escanciano, Carlos Velasco

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/4360

zbMATH Keywords

characteristic functionHilbert spacesexchange ratesgeneralized spectral distributionmartingale difference hypothesisS\&P 500 stock index

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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