Relevant bibliographies by topics / Martingale difference hypothesis

Academic literature on the topic 'Martingale difference hypothesis'

Author: Grafiati
Published: 10 December 2022
Last updated: 28 January 2023

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Journal articles on the topic "Martingale difference hypothesis"

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Domínguez, Manuel A., and Ignacio N. Lobato. "Testing the Martingale Difference Hypothesis." Econometric Reviews 22, no. 4 (January 12, 2003): 351–77. http://dx.doi.org/10.1081/etc-120025895.

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2

Tuyên, Lục Trí. "ON THE TESTING MULTI-VALUED MARTINGALE DIFFERENCE HYPOTHESIS." Journal of Computer Science and Cybernetics 34, no. 3 (December 5, 2018): 233–48. http://dx.doi.org/10.15625/1813-9663/34/3/13164.

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This paper presents a definition of Multi-Valued Martingale Difference (MVMD) based on Castaing representation of a multi-valued martingale that consists of martingale difference selections. Testing the Multi-Valued Martingale Difference Hypothesis (MVMDH) then examined. Testing the Martingale Difference Hypothesis (MDH) earlier was based on linear measures then later developed two directions in order to account for the existing nonlinearity in economic and financial data. First, the classical approaches have been modified by take into account the possible nonlinear dependence. Second, the use of more sophisticated statistical tools such as those based generalized spectral analysis. According to this article, both these developments in MDH are modified for MVMDH and applies them to exchange rate data and returns of stock market data.
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3

Escanciano, J. Carlos, and Carlos Velasco. "Generalized spectral tests for the martingale difference hypothesis." Journal of Econometrics 134, no. 1 (September 2006): 151–85. http://dx.doi.org/10.1016/j.jeconom.2005.06.019.

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4

Stoica, George. "Davis-type theorems for martingale difference sequences." Journal of Applied Mathematics and Stochastic Analysis 2005, no. 2 (January 1, 2005): 159–65. http://dx.doi.org/10.1155/jamsa.2005.159.

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We study Davis-type theorems on the optimal rate of convergence of moderate deviation probabilities. In the case of martingale difference sequences, under the finite pth moments hypothesis (1≤p<∞), and depending on the normalization factor, our results show that Davis' theorems either hold if and only if p>2 or fail for all p≥1. This is in sharp contrast with the classical case of i.i.d. centered sequences, where both Davis' theorems hold under the finite second moment hypothesis (or less).
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Escanciano, J. Carlos, and Carlos Velasco. "Testing the martingale difference hypothesis using integrated regression functions." Computational Statistics & Data Analysis 51, no. 4 (December 2006): 2278–94. http://dx.doi.org/10.1016/j.csda.2006.07.039.

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6

Escanciano, Juan Carlos, and Silvia Mayoral. "Data-driven smooth tests for the martingale difference hypothesis." Computational Statistics & Data Analysis 54, no. 8 (August 2010): 1983–98. http://dx.doi.org/10.1016/j.csda.2010.02.023.

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Charles, Amélie, Olivier Darné, and Jessica Fouilloux. "Testing the martingale difference hypothesis in CO2 emission allowances." Economic Modelling 28, no. 1-2 (January 2011): 27–35. http://dx.doi.org/10.1016/j.econmod.2010.10.003.

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8

Charles, Amélie, Olivier Darné, and Jae H. Kim. "Small sample properties of alternative tests for martingale difference hypothesis." Economics Letters 110, no. 2 (February 2011): 151–54. http://dx.doi.org/10.1016/j.econlet.2010.11.018.

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9

Veka, Steinar. "Testing the martingale difference hypothesis for the Nordic power derivatives market." Journal of Energy Markets 6, no. 2 (June 2013): 141–57. http://dx.doi.org/10.21314/jem.2013.091.

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10

Kapetanios, George, and Andrew P. Blake. "TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS." Econometric Theory 26, no. 5 (February 17, 2010): 1363–97. http://dx.doi.org/10.1017/s0266466609990612.

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The martingale difference restriction is an outcome of many theoretical analyses in economics and finance. A large body of econometric literature deals with tests of that restriction. We provide new tests based on radial basis function (RBF) neural networks. Our work is based on the test design of Blake and Kapetanios (2000, 2003a, 2003b). However, unlike that work we provide a formal theoretical justification for the validity of these tests and present some new general theoretical results. These results take advantage of the link between the algorithms of Blake and Kapetanios (2000, 2003a, 2003b) and boosting. We carry out a Monte Carlo study of the properties of the new tests and find that they have very good power performance. A simplified implementation of boosting is found to have desirable properties and small computational cost. An empirical application to the S&P 500 constituents illustrates the usefulness of our new test.
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Dissertations / Theses on the topic "Martingale difference hypothesis"

1

Fan, Lijun. "Testing the Martingale Difference Hypothesis in the UK Stockand Foreign Exchange Markets." Thesis, Loughborough University, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507342.

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Books on the topic "Martingale difference hypothesis"

1

Clark, Todd E. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis. Kansas City [Mo.]: Research Division, Federal Reserve Bank of Kansas City, 2004.

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