Testing the Martingale Difference Hypothesis
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Cites work
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Cited in
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- Testing the martingale restriction for option implied densities
- Spectral based testing of the martingale hypothesis
- Adaptive market hypothesis and evolving predictability of bitcoin
- Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap
- Weighted resampling of martingale difference arrays with applications
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Data-driven smooth tests for the martingale difference hypothesis
- Testing the suitability of polynomial models in errors-in-variables problems
- Model checks of higher order time series
- Constructing smooth tests without estimating the eigenpairs of the limiting process
- An out-of-sample, nonparametric test of the martingale difference hypothesis
- Generalized spectral tests for the martingale difference hypothesis
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- A New Test of the Martingale Difference Hypothesis
- A Test of the Martingale Hypothesis
- On the lack of power of omnibus specification tests
- An updated review of goodness-of-fit tests for regression models
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- Nonparametric estimation of mean-squared prediction error in nested-error regression models
- Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
- Modified martingale difference correlations
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Specification testing with estimated variables
- Fourier–type tests involving martingale difference processes
- Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
- SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure
- Testing the martingale difference hypothesis in high dimension
- Small sample properties of alternative tests for martingale difference hypothesis
- Empirical martingale projections via the adapted Wasserstein distance
- A zero-inflated Poisson integer-valued autoregressive model with time-varying coefficients covariates
- Directional predictability tests
- Positive time series regression models: theoretical and computational aspects
- Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses
- Generalized ARMA models with martingale difference errors
- Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
- Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
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