Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets

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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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Bibliographic Details
Main Author:	Cheong, Chin Wen
Format:	Article
Published:	2011
Subjects:	QA75.5-76.95 Electronic computers. Computer science
Online Access:	http://shdl.mmu.edu.my/3368/

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