Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets
This study examined the martingale hypothesis in the spot prices of the petroleum products markets. Under the parametric and non-parametric variance ratio tests, the independent and identically distributed increments and less restrictive martingale increments are evaluated over the period 1986-2009....
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier Ltd.
2011
|
| Subjects: | |
| Online Access: | http://shdl.mmu.edu.my/1896/ http://shdl.mmu.edu.my/1896/1/2.pdf |