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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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2014
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| 在線閱讀: | 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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| 機構: | Singapore Management University |
| 語言: | English |