Testing the white noise hypothesis of stock returns
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DOI: 10.1016/j.econmod.2018.08.003
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- Aviral Kumar Tiwari & Rangan Gupta & Juncal Cunado & Xin Sheng, 2020.
"Testing the white noise hypothesis in high-frequency housing returns of the United States,"
Economics and Business Letters, Oviedo University Press, vol. 9(3), pages 178-188.
- Aviral Kumar Tiwari & Rangan Gupta & Juncal Cunado & Xin Sheng, 2019. "Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States," Working Papers 201952, University of Pretoria, Department of Economics.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2020. "Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality," Journal of Econometrics, Elsevier, vol. 218(2), pages 633-654.
- Chlebus Marcin & Dyczko Michał & Woźniak Michał, 2021.
"Nvidia's Stock Returns Prediction Using Machine Learning Techniques for Time Series Forecasting Problem,"
Central European Economic Journal, Sciendo, vol. 8(55), pages 44-62, January.
- Marcin Chlebus & Michał Dyczko & Michał Woźniak, 2020. "Nvidia’s stock returns prediction using machine learning techniques for time series forecasting problem," Working Papers 2020-22, Faculty of Economic Sciences, University of Warsaw.
- Bucci, Andrea & Ciciretti, Vito, 2022. "Market regime detection via realized covariances," Economic Modelling, Elsevier, vol. 111(C).
- Li, Muyi & Zhang, Yanfen, 2022. "Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors," Computational Statistics & Data Analysis, Elsevier, vol. 165(C).
- Motegi, Kaiji & Iitsuka, Yoshitaka, 2023. "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
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More about this item
Keywords
Blockwise wild bootstrap; Randomized block size; Serial correlation; Weak form efficiency; White noise test;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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