Generalized spectral tests for the martingale difference hypothesis

Journal of Econometrics

Volumn 134, Issue 1, 2006, Pages 151-185

  Escanciano, J Carlos ^a   Velasco, Carlos ^b  

^a UNIVERSITY OF NAVARRA   (Spain)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Characteristic function; Exchange rates; Generalized spectral distribution; Hilbert spaces; Martingale difference hypothesis; S P 500 stock index

Indexed keywords

ASYMPTOTIC STABILITY; CORRELATION METHODS; CORRELATION THEORY; DATA PROCESSING; MONTE CARLO METHODS; PERFORMANCE;

CONDITIONAL HETEROSKEDASTICITY; MARTINGALE DIFFERENCE HYPOTHESIS (MDH); STOCK EXCHANGE; STOCK INDEX;

SPECTRUM ANALYSIS;

EID: 33746218652     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.06.019     Document Type: Article

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