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New Procedures for Testing Whether Stock Price Processes are Martingales

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  • Kei Takeuchi
  • Akimichi Takemura
  • Masayuki Kumon

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Suggested Citation

  • Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2011. "New Procedures for Testing Whether Stock Price Processes are Martingales," Computational Economics, Springer;Society for Computational Economics, vol. 37(1), pages 67-88, January.
    • Handle: RePEc:kap:compec:v:37:y:2011:i:1:p:67-88
    DOI: 10.1007/s10614-010-9206-2
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    References listed on IDEAS

    as
    1. Leroy, S.F., 1989. "Efficient Capital Markets And Martingales," University of California at Santa Barbara, Economics Working Paper Series 13-89, Department of Economics, UC Santa Barbara.
    2. Masayuki Kumon & Akimichi Takemura & Kei Takeuchi, 2005. "Capital process and optimality properties of a Bayesian Skeptic in coin-tossing games," Papers math/0510662, arXiv.org, revised Sep 2008.
    3. Timmermann, Allan & Granger, Clive W. J., 2004. "Efficient market hypothesis and forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27.
    4. Kei Takeuchi & Masayuki Kumon & Akimichi Takemura, 2008. "Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time," Papers 0802.4311, arXiv.org, revised Mar 2008.
    5. repec:ebl:ecbull:v:7:y:2008:i:6:p:1-12 is not listed on IDEAS
    6. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
    7. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    8. Burton G. Malkiel, 2005. "Reflections on the Efficient Market Hypothesis: 30 Years Later," The Financial Review, Eastern Finance Association, vol. 40(1), pages 1-9, February.
    9. Sergio Da Silva & Raul Matsushita & Ricardo Giglio, 2008. "The relative efficiency of stockmarkets," Economics Bulletin, AccessEcon, vol. 7(6), pages 1-12.
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