Spectral based testing of the martingale hypothesis
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Publication:1185208
DOI10.1016/0304-4076(91)90025-9zbMath0757.62047OpenAlexW2024812104MaRDI QIDQ1185208
Publication date: 28 June 1992
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/t0090.pdf
time seriespowerasymptotic theorystock pricesspectral distribution functionmartingale hypothesisrandom walk theoryMA alternativessubsets of frequencies
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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Cites Work
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- Time series properties of aggregate output fluctuations
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- Empirical Processes with Applications to Statistics
- Time Series Regression with a Unit Root
- On Limit Theorems for Quadratic Functions of Discrete Time Series
- Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes
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