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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書目詳細資料
Main Authors:	Phillips, Peter C. B., JIN, Sainan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2014
主題:	Brownian functional Cramér-von Mises test Exchange rates Explosive process Kolmogorov-Smirnov test Econometrics
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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