Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation

DOI10.1016/S0377-2217(01)00081-9MaRDI QIDQ1600863zbMATH OpenOpenAlexFDO

Authors Kamil Yilmaz, Barış Tan

Publication date 16 June 2002

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0377-2217(01)00081-9

zbMATH Keywords

efficient market hypothesisMarkov chainMonte Carlo simulationtime series

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Markov and semi-Markov decision processes (90C40)

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Cites work

• Brownian motion in the stock market
• Empirical Evaluation of Some Chi-Square Tests for the Order of a Markov Chain
• Estimating a Markov Transition Matrix from Observational Data
• Portfolio Analysis in a Stable Paretian Market
• Statistical Inference about Markov Chains
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• The Behavior of Stock-Price Relatives—A Markovian Analysis

Cited in

(6)

• The price leadership share: a new measure of price discovery in financial markets
• Analysis of exchange rates as time-inhomogeneous Markov chain with finite states
• Hypothesis testing for Markovian models with random time observations
• Cyclical dynamics of industrial production and employment: Markov chain-based estimates and tests
• Testing for the Markov property in time series
• Chain dependence and stationarity test for transition probabilities of Markov chain under logistic regression model

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