Martingale hypothesis
Official Full-Text Publication: A Test of the Martingale Hypothesis on ResearchGate, the professional network for scientists. In probability theory, a martingale is a model of a fair game where knowledge of past events never helps predict the mean of the future winnings. Downloadable! We propose new tests of the martingale hypothesis based on generalized versions of the Kolmogorov-Smirnov and Cramer-von Mises tests. The tests are. Testing for the Martingale Hypothesis1 Joon Y. Park School of Economics Seoul National University and Yoon-Jae Whang Department of Economics Ewha University S.N. Durlauf, Spectral based testing of the martingale hypothesis 357 H,, is a martingale difference sequence. All testable implications may be We discuss martingales, detrending data, and the efficient market hypothesis (EMH) for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). B Excursions in the Martingale Hypothesis on ResearchGate, the professional network for scientists. A Test of the Martingale Hypothesis 1 Joon Y. Park Department of Economics Rice University and Sungkyunkwan University and Yoon-Jae Whang Department of Economics Downloadable! This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against. TESTING THE MARTINGALE HYPOTHESIS J. Carlos Escanciano Indiana University, Bloomington, USA Ignacio N. Lobato Instituto Tecnológico Autónomo de MØxico, MØxico D.F.
