A monte carlo analysis of two spectral tests of the martingale hypothesis

DOI10.1007/BF02589095zbMATH Open1446.62252MaRDI QIDQ3598366FDOQ3598366

Claudio Lupi

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

zbMATH Keywords

hypothesis testingMonte Carlomartingalesspectral tests

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

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
• Title not available (Why is that?)
• Time series properties of aggregate output fluctuations

Cited In (3)

• Fourier–type tests involving martingale difference processes
• Spectral tests of the martingale hypothesis under conditional heteroscedasticity
• Spectral based testing of the martingale hypothesis

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