A monte carlo analysis of two spectral tests of the martingale hypothesis
From MaRDI portal
Publication:3598366
Recommendations
- A Test of the Martingale Hypothesis
- Spectral based testing of the martingale hypothesis
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Generalized spectral tests for the martingale difference hypothesis
- Small sample properties of alternative tests for martingale difference hypothesis
Cites work
- scientific article; zbMATH DE number 3958501 (Why is no real title available?)
- scientific article; zbMATH DE number 52648 (Why is no real title available?)
- Asymptotics for linear processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Generalized autoregressive conditional heteroscedasticity
- On Limit Theorems for Quadratic Functions of Discrete Time Series
- On a measure of lack of fit in time series models
- Spectral based testing of the martingale hypothesis
- TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
- Time series properties of aggregate output fluctuations
Cited in
(5)
This page was built for publication: A monte carlo analysis of two spectral tests of the martingale hypothesis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3598366)
