Generalized spectral tests for the martingale difference hypothesis

DOI10.1016/j.jeconom.2005.06.019zbMath1418.62320MaRDI 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 function; Hilbert spaces; exchange rates; generalized spectral distribution; martingale difference hypothesis; S\&P 500 stock index

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

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