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Testing the martingale difference hypothesis using integrated regression functions · Study

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ArticleTesting the martingale difference hypothesis using integrated regression functions

Juan Carlos Escanciano2006

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Articlegreen2006

Testing the martingale difference hypothesis using integrated regression functions

Juan Carlos Escanciano · Carlos Velasco

27 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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References

1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1988How Big Is the Random Walk in GNP?1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates 1999Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach 2005Generalized spectral tests for the martingale difference hypothesis 2007The quantilogram: With an application to evaluating directional predictability 1996Consistent Testing for Serial Correlation of Unknown Form

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Details

Year2006

Typearticle

Published2006-08-25

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2006.07.039

openalex_workW1976792908

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