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Econometric Reviews Volume 22, 2003 - Issue 4
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Original Articles

Testing the Martingale Difference Hypothesis

Manuel A. Domínguez Instituto Tecnológico Autónomo de México, Av. Camino a Santa Teresa #930, Col. Héroes de Padierna, 10700, México, D.F., Mexico
&
Ignacio N. Lobato Instituto Tecnológico Autónomo de México, Av. Camino a Santa Teresa #930, Col. Héroes de Padierna, 10700, México, D.F., MexicoCorrespondence[email protected]
Pages 351-377 | Published online: 19 Aug 2006

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Carmen López-Martín. (2023) Dynamic analysis of calendar anomalies in cryptocurrency markets: evidences of adaptive market hypothesis. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad 52:4, pages 559-592.
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Manuel A. Domínguez & Ignacio N. Lobato. (2020) Specification testing with estimated variables. Econometric Reviews 39:5, pages 476-494.
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Sashikanta Khuntia, J. K. Pattanayak & Gourishankar S. Hiremath. (2018) Is The Foreign Exchange Market Efficiency Adaptive? The Empirical Evidence From India. Journal of Asia-Pacific Business 19:4, pages 261-285.
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Zdeněk Hlávka, Marie Hušková, Claudia Kirch & Simos G. Meintanis. (2017) Fourier–type tests involving martingale difference processes. Econometric Reviews 36:4, pages 468-492.
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Herman J. Bierens & Li Wang. (2017) Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes. Econometric Reviews 36:1-3, pages 103-135.
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Afees A. Salisu & Taofeek O. Ayinde. (2016) Testing the Martingale Difference Hypothesis (MDH) with Structural Breaks: Evidence from Foreign Exchanges of Nigeria and South Africa. Journal of African Business 17:3, pages 342-359.
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Peter C. B. Phillips & Sainan Jin. (2014) Testing the Martingale Hypothesis. Journal of Business & Economic Statistics 32:4, pages 537-554.
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