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
characteristic functionHilbert spacesexchange ratesgeneralized spectral distributionmartingale difference hypothesisS\&P 500 stock index
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (33)
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