Spectral tests of the martingale hypothesis under conditional heteroscedasticity
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References listed on IDEAS
- Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127.
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"On the relation between GARCH and stable processes,"
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- Durlauf, Steven N., 1991.
"Spectral based testing of the martingale hypothesis,"
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- Steven N. Durlauf, 1992. "Spectral Based Testing of the Martingale Hypothesis," NBER Technical Working Papers 0090, National Bureau of Economic Research, Inc.
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