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....
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| Format: | Article |
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2011
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| Online Access: | http://shdl.mmu.edu.my/3368/ |