A monte carlo analysis of two spectral tests of the martingale hypothesis
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Publication:3598366
DOI10.1007/BF02589095zbMATH Open1446.62252MaRDI QIDQ3598366FDOQ3598366
Authors: Claudio Lupi 
Publication date: 3 February 2009
Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Asymptotics for linear processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- On a measure of lack of fit in time series models
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
- On Limit Theorems for Quadratic Functions of Discrete Time Series
- Title not available (Why is that?)
- Spectral based testing of the martingale hypothesis
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- Time series properties of aggregate output fluctuations
Cited In (5)
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