Data-driven smooth tests for the martingale difference hypothesis
From MaRDI portal
Publication:2445650
DOI10.1016/j.csda.2010.02.023zbMath1284.62549MaRDI QIDQ2445650
Juan Carlos Escanciano, Silvia Mayoral
Publication date: 14 April 2014
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://www.unav.edu/documents/10174/6546776/1170333590_wp0107.pdf
empirical processes; nonlinear time series; market efficiency; semiparametric efficiency; Neyman's tests; pivotal tests
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
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Uses Software
Cites Work
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