Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets

DOI10.1016/J.MCM.2011.04.022zbMATH Open1228.91057OpenAlexW2016118312MaRDI QIDQ652875FDOQ652875

Authors: Chin Wen Cheong 

Publication date: 18 December 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.04.022

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zbMATH Keywords

financial time seriesmartingale processstructural breakvariance ratio testenergy spot markets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Specification Tests in Econometrics
• Title not available (Why is that?)
• On the asymptotic power of the variance ratio test
• Wild bootstrapping variance ratio tests
• A simple multiple variance ratio test
• Non-renewable resource prices: deterministic or stochastic trends?

Cited In (3)

• A novel integrated measure for energy market efficiency
• How efficient are natural gas markets in practice? A wavelet-based approach
• Application of continuous stochastic processes in energy market models

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