A New Test of the Martingale Difference Hypothesis
Year of publication: |
2003-11
|
---|---|
Authors: | Kuan, Chung-Ming ; Lee, Wei-Ming |
Institutions: | Institute of Economics, Academia Sinica |
Subject: | autocorrelation-based test | Bierens’ equivalence result | martingale difference sequence | multivariate exponential distribution | spectrum-based test |
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