Testing the Martingale Hypothesis

Testing the Martingale Hypothesis

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...

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Bibliographic Details
Main Authors: Phillips, Peter C. B., JIN, Sainan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Brownian functional
Cramér-von Mises test
Exchange rates
Explosive process
Kolmogorov-Smirnov test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1633
https://ink.library.smu.edu.sg/context/soe_research/article/2632/viewcontent/2014JBESMG_av.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1633
https://ink.library.smu.edu.sg/context/soe_research/article/2632/viewcontent/2014JBESMG_av.pdf

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