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Journal articles on the topic 'Martingale difference hypothesis'

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Author: Grafiati

Published: 10 December 2022

Last updated: 28 January 2023

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1

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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5

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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7

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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11

Chiş, Diana-Maria. "Testing the Martingale Difference Hypothesis in the European Emerging Unit-linked Insurance Markets." Procedia Economics and Finance 3 (2012): 49–54. http://dx.doi.org/10.1016/s2212-5671(12)00119-0.

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12

Clark, Todd E., and Kenneth D. West. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis." Journal of Econometrics 135, no. 1-2 (November 2006): 155–86. http://dx.doi.org/10.1016/j.jeconom.2005.07.014.

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13

Lazăr, Dorina, Alexandru Todea, and Diana Filip. "Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets." Economic Systems 36, no. 3 (September 2012): 338–50. http://dx.doi.org/10.1016/j.ecosys.2012.02.002.

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14

Fan, Lijun, and Terence C. Mills. "Size and power properties of tests of the martingale difference hypothesis: a Monte Carlo study." International Journal of Computational Economics and Econometrics 1, no. 1 (2009): 48. http://dx.doi.org/10.1504/ijcee.2009.029152.

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15

Salisu, Afees A., Tirimisiyu F. Oloko, and Oluwatomisin J. Oyewole. "Testing for martingale difference hypothesis with structural breaks: Evidence from Asia–Pacific foreign exchange markets." Borsa Istanbul Review 16, no. 4 (December 2016): 210–18. http://dx.doi.org/10.1016/j.bir.2016.09.001.

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16

Kumar, Dilip, and Srinivasan Maheswaran. "Are major global stock markets efficient? An application of the martingale difference hypothesis with wild bootstrap." American J. of Finance and Accounting 3, no. 2/3/4 (2014): 217. http://dx.doi.org/10.1504/ajfa.2014.060818.

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17

Salisu, Afees A., and Taofeek O. Ayinde. "Testing the Martingale Difference Hypothesis (MDH) with Structural Breaks: Evidence from Foreign Exchanges of Nigeria and South Africa." Journal of African Business 17, no. 3 (June 6, 2016): 342–59. http://dx.doi.org/10.1080/15228916.2016.1183274.

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18

Lobato, I. N., John C. Nankervis, and N. E. Savin. "TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE." Econometric Theory 18, no. 3 (May 15, 2002): 730–43. http://dx.doi.org/10.1017/s0266466602183083.

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The problem addressed in this paper is to test the null hypothesis that a time series process is uncorrelated up to lag K in the presence of statistical dependence. We propose an extension of the Box–Pierce Q-test that is asymptotically distributed as chi-square when the null is true for a very general class of dependent processes that includes non-martingale difference sequences. The test is based on a consistent estimator of the asymptotic covariance matrix of the sample autocorrelations under the null. The finite sample performance of this extension is investigated in a Monte Carlo study.

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19

Escanciano, J. Carlos. "ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS." Econometric Theory 25, no. 1 (February 2009): 162–94. http://dx.doi.org/10.1017/s0266466608090051.

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Designed to have power against all alternatives, omnibus consistent tests are the primary econometric tools for testing the correct specification of parametric conditional means when there is no information about the possible alternative. The main purpose of this paper is to show that, contrary to what is generally believed, omnibus specification tests only have substantial local power against alternatives in a finite-dimensional space (usually unknown to the researcher). We call such a space theprincipal space. We characterize and estimate the principal space for Cramér–von Mises tests. These results are some of the by-products of a detailed theoretical power analysis carried out in the paper. This investigation focuses on the class of the so-called integrated consistent tests under possibly heteroskedastic time series. A Monte Carlo experiment examines the finite-sample properties of tests and estimators of preferred alternatives. Finally, an application of our theory to test the martingale difference hypothesis of some exchange rates provides new information on the rejection of omnibus tests and illustrates our findings.

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20

Shehryar, Muhammad, Qamar Abbas, Muhammad Nouman Anser, and Kashif Raza. "The Puzzle of Informational Efficiency & Macroeconomic Variables: A Comparative Evidence in Shari’ah Stock Markets of Pakistan viz-a-viz Malaysia." iRASD Journal of Economics 4, no. 1 (March 20, 2022): 38–54. http://dx.doi.org/10.52131/joe.2022.0401.0059.

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The present study examines the weak-form informational efficiency of the Shari’ah stock market of Pakistan and Malaysia. For this purpose, the study uses the daily index price data of the KSE Meezan Index (Pakistan) & FTSE Malaysia EMAS Shariah Index (Malaysia) for the time span starting from 1st July 2009 to 30th June 2019. By employing a more robust test namely Automatic Portmanteau Test (AQ Test) through testing the Martingale Difference Hypothesis, this study finds that KSE Meezan Index (KMI-30) was informationally efficient (weak-form) whereas FTSE Malaysia EMAS Shariah Index was not weak-form of efficient. Further, this research investigates the long-run relationship viz-a-viz short-run relationship among the returns of both Islamic stock markets and three macroeconomic variables (Exchange Rate, Inflation Rate, Interest Rate) of both said countries. In this connection, this study employs the Philips-Perron Test for stationary analysis, Johansen co-integration test, Vector Error Correction Model on the monthly time series data for the same said sample period. The statistical findings show that returns of both Shari’ah stock markets have a long-run association with said macroeconomic variables and have the co-integration or long-term association with long-run causality running from macroeconomic variables to the return of the Islamic stock market in both sample countries but the short-run association viz-a-viz short-run causality is not found.

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21

Leitch, Robert A., and Yining Chen. "The Effectiveness of Expectation Models in Recognizing Error Patterns and Generating and Eliminating Hypotheses While Conducting Analytical Procedures." AUDITING: A Journal of Practice & Theory 22, no. 2 (September 1, 2003): 147–70. http://dx.doi.org/10.2308/aud.2003.22.2.147.

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This study analyzes the hypothesis generation and elimination capability of analytical procedures using Structural, Stepwise, Martingale, and ARIMA (Auto Regressive Integrated Moving Average) expectation models. We seed 14 errors into 36 complete sets of actual monthly financial statements from three companies. The bivariate pattern of differences, along with the structure of the accounting, business process, and economic system, are used to analytically determine (hypothesize) the most likely cause of the error. We then test the capability of these expectation models to generate correct hypotheses or to eliminate incorrect hypotheses. Positive and negative testing approaches, founded on multivariate normal theory, are examined. From a hypothesis generation perspective using the positive testing approach, the results indicate that the Structural and Stepwise models, yield lower effectiveness risks (type II error) than the ARIMA and Martingale models, with the edge going to the Structural model. From a hypothesis elimination perspective using the negative approach, the results indicate that the Structural and Stepwise models yield lower efficiency risks (type I error) than the Martingale and ARIMA models, with the edge going to the Stepwise model. This study provides strong evidence to support the use of the structure of an organization's business processes (McCarthy 1982; Bell et al. 1997), its associated accounting system, and economic structure to build an expectation model. Moreover, the joint consideration of errors is found to be superior to the marginal approach advocated by Kinney (1987). The results presented here have the potential to assist auditors in directing audit efforts.

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22

Chang, Bishart. "Are gold markets weak form efficient? Evidence from China, India and Russia." Sukkur IBA Journal of Management and Business 5, no. 1 (July 4, 2018): 52. http://dx.doi.org/10.30537/sijmb.v5i1.189.

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The main purpose of this study is to determine the weak form efficiency of the emerging gold markets such as China, India and Russia with the special focus on testing random walks (RWS) and martingale difference sequence (MDS) hypotheses during different periods of time. This study uses biased free statistical techniques such as runs test, parametric variance ratio tests and recent modified non-parametric variance ratio tests based on ranks and signs by using daily spot gold prices from January 12, 1993 to October 28, 2016. Findings of the study suggest that Russian gold market is weak form efficient throughout the period whereas other two markets are found weak form efficient during second sub period only that is, January 2000 to December 2005.

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23

Chang, Jinyuan, Qing Jiang, and Xiaofeng Shao. "Testing the martingale difference hypothesis in high dimension." Journal of Econometrics, October 2022. http://dx.doi.org/10.1016/j.jeconom.2022.09.001.

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24

Kuan, Chung-Ming, and Wei-Ming Lee. "A New Test of the Martingale Difference Hypothesis." Studies in Nonlinear Dynamics & Econometrics 8, no. 4 (January 1, 2004). http://dx.doi.org/10.2202/1558-3708.1191.

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25

Pincheira, Pablo M. "Shrinkage Based Tests of the Martingale Difference Hypothesis." SSRN Electronic Journal, 2006. http://dx.doi.org/10.2139/ssrn.2047496.

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26

Wang, Guochang, Ke Zhu, and Xiaofeng Shao. "Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models." Journal of Business & Economic Statistics, March 22, 2021, 1–15. http://dx.doi.org/10.1080/07350015.2021.1889568.

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27

Pincheira, Pablo M. "A Simple Out-of-Sample Test for the Martingale Difference Hypothesis." SSRN Electronic Journal, 2013. http://dx.doi.org/10.2139/ssrn.2291192.

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28

Clark, Todd E., and Kenneth D. West. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis." SSRN Electronic Journal, 2004. http://dx.doi.org/10.2139/ssrn.557101.

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29

Pandey, Richa, and V. Mary Jessica. "Evolution of the housing market under the framework of adaptive market hypothesis and martingale difference hypothesis: a case of India." Property Management ahead-of-print, ahead-of-print (July 6, 2021). http://dx.doi.org/10.1108/pm-11-2020-0075.

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PurposeThe purpose of this study to evaluate the evolving market efficiency of the housing market under the framework of adaptive market hypothesis and martingale difference hypothesis taking a case of India.Design/methodology/approachThe study used a wild bootstrap version of the generalized spectral (GS) test in the rolling window framework to measure possible time-varying linear and non-linear dependence in the housing market.FindingsThe study finds that the Indian housing market, in general, is not efficient, and this efficiency is dynamic, which changes with time lending support to the adaptive market hypothesis. The study confirms that the evolutionary model of individuals adapting to a changing environment via behavioural biases affects the efficiency of the housing market, which leads to the evolving efficiency of the housing market prices.Research limitations/implicationsThe study believes that the potential implications go beyond evolutionary forces and the adaptive market hypothesis , which, does not only depend on an individual's decision-making process but also on social psychology. Thus, a further attempt in this line, taking into account the social psychology and quantitative rigour towards drivers of evolving efficiency is suggested for future research.Practical implicationsThe study suggests that there is a possibility of extra returns for market players, but not always. The Indian housing market has witnessed several landmark reforms in recent years, so it is believed that these reforms would decrease the inefficiency level of this market. Contrary to this, the study’s findings reveal an increase in the inefficiency level in recent years. As the Indian housing market shows evolving efficiency, it is believed that the increased inefficiency is temporary. The increased inefficiency can be regarded as the settlement stage of the various policy and technical reforms.Originality/valueConfirming the presence or absence of adaptive efficiency in the housing market under possible non-linear dependence will be a significant addition to the existing literature.

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