Testing the martingale hypothesis
Peter C. B. Phillips; Sainan Jin
| Year of publication: |
2014
|
|---|---|
| Authors: | Phillips, Peter C. B. ; Jin, Sainan |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 32.2014, 4, p. 537-554
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| Subject: | Brownian functional | Cramér-von Mises test | Exchange rates | Explosive process | Kolmogorov-Smirnov test | Statistischer Test | Statistical test | Wechselkurs | Exchange rate | Theorie | Theory | Martingal | Martingale | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Kaufkraftparität | Purchasing power parity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010488434