Testing the Martingale Hypothesis
نویسندگان
چکیده
منابع مشابه
Testing the Martingale Hypothesis By
We propose new tests of the martingale hypothesis based on generalized versions of the Kolmogorov– Smirnov and Cramér–von Mises tests. The tests are distribution-free and allow for a weak drift in the null model. The methods do not require either smoothing parameters or bootstrap resampling for their implementation and so are well suited to practical work. The article develops limit theory for ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2327605