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 certain non-martingale alternatives. The class of alternative processes against which our test has power is very general and it encompasses many...

In the present paper we consider the general class of first-order nonlinear models. The main contributions concern primerly a generalization of the conditions for geometric ergodicity presented in Ferrante et al. (2003). The obtained result is then applied to two classes of first-order nonlinear...

This paper compares the forecasting performance of the Smooth Transition Autoregressive (STAR) model with the conventional linear Autoregressive (AR) and Simple Random Walk (SRW) models. The empirical analysis was conducted using quarterly data for the yen-based currencies of six major East...

In this paper, we study the problem of a variety of nonlinear threshold autoregressive model X <Subscript> n </Subscript> <Subscript>+1</Subscript>=ϕ(X <Subscript> n </Subscript>)+ɛ<Subscript> n </Subscript> <Subscript>+1</Subscript>(Z <Subscript> n </Subscript> <Subscript>+1</Subscript>) in which {Z <Subscript> n </Subscript>} is a Markov chain with finite state space, and for every state i of the Markov chain, {ɛ<Subscript> n </Subscript>(i)} is a sequence of independent and identically...</subscript></subscript></subscript></subscript></subscript></subscript></subscript></subscript></subscript>

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 certain non-martingale alternatives. The class of alternative processes against which our test has power is very general and it encompasses many...

The availability of high frequency databases makes possible to understand financial market dynamics and test some of hypothesis brought up by the microstructure theory. In that way, many formulations have been suggested. One of the first proposals to model event based high frequency data has...