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A New Test of the Martingale Difference Hypothesis
14 references·5 citing·49 second hop
A New Test of the Martingale Difference Hypothesis (2004)A New Test of the Martingale Difference H…Testing for Autocorrelation Using a Modified Box‐Pierce Q Test (2001)Testing for Autocorrelation U…Spectral tests of the martingale hypothesis under conditional heteroscedasticity (2000)Spectral tests of the marting…Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach (1999)Hypothesis Testing in Time Se…A simple nonlinear time series model with misleading linear properties (1999)A simple nonlinear time serie…On the robustness of nonlinearity tests to moment condition failure (1997)On the robustness of nonlinea…Consistent Testing for Serial Correlation of Unknown Form (1996)Consistent Testing for Serial…Spectral based testing of the martingale hypothesis (1991)Spectral based testing of the…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIA Variance-Ratio Test of Random Walks in Foreign Exchange Rates (1991)A Variance-Ratio Test of Rand…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Efficient Capital Markets and Martingales (1989)Efficient Capital Markets and…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …The role of financial stress in the economic activity: Fresh evidence from a Granger‐causality in quantiles analysis for the UK and Germany (2020)The role of financial stress …Market Efficiency in Indian Exchange Rates: Adaptive Market Hypothesis (2018)Market Efficiency in Indian E…Testing the Martingale Hypothesis (2014)Testing the Martingale Hypoth…Are exchange rate movements predictable in Asia-Pacific markets? 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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1989Efficient Capital Markets and Martingales505 cited
  • 1991A Variance-Ratio Test of Random Walks in Foreign Exchange Rates261 cited
  • 1999Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach240 cited
  • 1999A simple nonlinear time series model with misleading linear properties208 cited
  • 1996Consistent Testing for Serial Correlation of Unknown Form204 cited
  • 1991Spectral based testing of the martingale hypothesis168 cited
  • 2001Testing for Autocorrelation Using a Modified Box‐Pierce Q Test104 cited
  • 2000Spectral tests of the martingale hypothesis under conditional heteroscedasticity103 cited
  • 1997On the robustness of nonlinearity tests to moment condition failure62 cited

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  • 2011

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Are exchange rate movements predictable in Asia-Pacific markets? Evidence of random walk and martingale difference processes
34 cited
  • 2010Testing the martingale difference hypothesis in CO2 emission allowances31 cited
  • 2014Testing the Martingale Hypothesis23 cited
  • 2018Market Efficiency in Indian Exchange Rates: Adaptive Market Hypothesis22 cited
  • 2020The role of financial stress in the economic activity: Fresh evidence from a Granger‐causality in quantiles analysis for the UK and Germany10 cited