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On the testing multi-valued martingale difference hypothesis

On the testing multi-valued martingale difference hypothesis

 Lục, Trí Tuyên
 2018.
 tr. 233-248 Tiếng Việt
Generalized Spectral AnalysisExchange RatesTỷ giá hối đoáiMulti-Values Martingale DifferencePhân tích tổng quátMartingale Difference HypothesisDữ liệu chứng khoán
Tác giả CN Lục, Trí Tuyên
Nhan đề On the testing multi-valued martingale difference hypothesis / Lục Trí Tuyên
Thông tin xuất bản 2018.
Mô tả vật lý tr. 233-248
Tóm tắt This paper presents a definition of Multi-Valued Martingale Difference (MVMD) based on Castaing representation of a multi-valued martingale that consists of martingale difference selections. Testing the Multi-Valued Martingale Difference Hypothesis (MVMDH) then examined. Testing the Martingale Difference Hypothesis (MDH) earlier was based on linear measures then later developed two directions in order to account for the existing nonlinearity in economic and financial data. First, the classical approaches have been modified by take into account the possible nonlinear dependence. Second, the use of more sophisticated statistical tools such as those based generalized spectral analysis. According to this article, both these developments in MDH are modified for MVMDH and applies them to exchange rate data and returns of stock market data.
Thuật ngữ chủ đề Generalized Spectral Analysis
Từ khóa tự do Exchange Rates
Từ khóa tự do Tỷ giá hối đoái
Từ khóa tự do Multi-Values Martingale Difference
Từ khóa tự do Phân tích tổng quát
Từ khóa tự do Martingale Difference Hypothesis
Từ khóa tự do Dữ liệu chứng khoán
Nguồn trích Tạp chí Tin học và Điều khiển học- Vol.34, No 3
MARC
Hiển thị đầy đủ trường & trường con
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520[ ] |a This paper presents a definition of Multi-Valued Martingale Difference (MVMD) based on Castaing representation of a multi-valued martingale that consists of martingale difference selections. Testing the Multi-Valued Martingale Difference Hypothesis (MVMDH) then examined. Testing the Martingale Difference Hypothesis (MDH) earlier was based on linear measures then later developed two directions in order to account for the existing nonlinearity in economic and financial data. First, the classical approaches have been modified by take into account the possible nonlinear dependence. Second, the use of more sophisticated statistical tools such as those based generalized spectral analysis. According to this article, both these developments in MDH are modified for MVMDH and applies them to exchange rate data and returns of stock market data.
650[1 0] |a Generalized Spectral Analysis
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653[0 ] |a Martingale Difference Hypothesis
653[0 ] |a Dữ liệu chứng khoán
773[0 ] |t Tạp chí Tin học và Điều khiển học |g Vol.34, No 3
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