๐”– Bobbio Scriptorium
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The model dependence of relative mean-square error tests for market efficiency

โœ Scribed by Wayne Joerding


Book ID
116095978
Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
688 KB
Volume
38
Category
Article
ISSN
0148-6195

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Hall and Hart (1990) proved that the mean integrated squared error (MISE) of a marginal kernel density estimator from an infinite moving average process X1, )(2 .... may be decomposed into the sum of MISE of the same kernel estimator for a random sample of the same size and a term proportional to th