Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity
通过异方差模型检验德国马克期货的鞅假说
Abstract We examine the form of heteroscedasticity in Deutsche Mark futures price data and compare different specifications of the particular way that the variance is changing over time. The martingale hypothesis is tested with daily and weekly rates of change of futures prices for the Deutsche Mark and some evidence is found against this hypothesis in analyses of daily data from 1981 to 1985. This rejection of the martingale hypothesis may be attributed to trading day…