Search results for "Martingale difference sequence"
showing 4 items of 4 documents
Testing Independence: A New Approach
2000
In time series analysis and modelling, testing for independence allows us to determine if the estimated model is correctly specified. In this work, we present a very simple method to test for serial independence, based on the two-dimensional embedding vectors (the so-called “2-histories”), and we analyse the power and size of such a procedure against a wide set of linear and nonlinear alternatives.
Value preserving portfolio strategies and the minimal martingale measure
1998
We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical.
On Fuzzy Stochastic Integral Equations—A Martingale Problem Approach
2011
In the paper we consider fuzzy stochastic integral equations using the methods of stochastic inclusions. The idea is to consider an associated martingale problem and its solutions in order to obtain a solution to the fuzzy stochastic equation.
Testing the Martingale Property of Exchange Rates: A Replication
2010
In this paper, we test the martingale property of a set of U.S. exchange rates already analyzed in a recent paper by Yilmaz [J. of Buss. and Ec. Stat., 2003]. We claim that the tests used by Yilmaz are not the most convenient to test the martingale hypothesis (or the equivalent martingale difference of the returns); hence, we compute a recently proposed test by Kuan and Lee [Stud. in Nonlin. Dyn. and Econ., 2004] and compare our results to Yilmaz's. Striking differences arise, which can give a clue about the type of data generating process governing the evolution of exchange rates in each sub-period.