• Lục Trí Tuyên Phòng Thống kê tính toán - Ứng dụng, Viện Công nghệ Thông tin, Viện Khoa học và công nghệ Việt Nam




Martingale Difference Hypothesis, Multi-Values Martingale Difference, Generalized Spectral Analysis, Exchange Rates


This paper presents a definition of Multi-Valued Martingale Difference (MVMD) based on Castaing representation of a multi-valued martingale that consists of martingale difference selections. Testing the Multi-Valued Martingale Difference Hypothesis (MVMDH) then examined. Testing the Martingale Difference Hypothesis (MDH) earlier was based on linear measures then later developed  two directions in order to account for the existing nonlinearity in economic and financial data. First, the classical approaches have been modified by take into account the possible nonlinear dependence. Second, the use of more sophisticated statistical tools such as those based generalized spectral analysis. According to this article, both these developments in MDH are modified for MVMDH and applies them to exchange rate data and returns of stock market data.


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Lục Trí Tuyên, Phòng Thống kê tính toán - Ứng dụng, Viện Công nghệ Thông tin, Viện Khoa học và công nghệ Việt Nam

Phòng Thống kê tính toán - Ứng dụng


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How to Cite

L. T. Tuyên, “ON THE TESTING MULTI-VALUED MARTINGALE DIFFERENCE HYPOTHESIS”, JCC, vol. 34, no. 3, p. 233–248, Dec. 2018.



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