In this paper, we extend results from the finance literature that explores small sample bias, due to persistent variables, in tests of present value asset pricing models. Using a Monte Carlo simulation approach, we investigate the finite sample behaviour of standard tests of the expectations hypothe
Small sample properties of alternative tests for martingale difference hypothesis
✍ Scribed by Amélie Charles; Olivier Darné; Jae H. Kim
- Book ID
- 116422764
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 158 KB
- Volume
- 110
- Category
- Article
- ISSN
- 0165-1765
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