Spectral tests of the martingale hypothesis under conditional heteroscedasticity

Journal of Econometrics

Volumn 99, Issue 2, 2000, Pages 291-315

  Deo, Rohit S ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Conditional heteroscedasticity; Cram r von Mises statistic; Martingale difference; Sample spectral distribution function

Indexed keywords

EID: 0347114546     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(00)00027-0     Document Type: Article

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