Testing the martingale hypothesis for gross returns
Oliver Linton, Ekaterina Smetanina
| Year of publication: |
September 2016
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|---|---|
| Authors: | Linton, Oliver ; Smetanina, Ekaterina |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 38.2016, Part B, p. 664-689
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| Subject: | Variance ratio tests | Martingale | Predictability | Martingal | Statistischer Test | Statistical test | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.02.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011663757