Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
By: Todd E. Clark and Kenneth D. West.
Contributors: West, Kenneth D.; Federal Reserve Bank of Kansas City. Research Division.
Series: RWP ;; 04-03; Research working paper (Federal Reserve Bank of Kansas City : Online) ;; 04-03.
Publisher: Research Division, Federal Reserve Bank of Kansas City
Published: 2004
Place of publication: Kansas City [Mo.]
Language: eng
Format: Electronic resource
Subjects: Prediction theory -- Mathematical models.; Martingales (Mathematics); Foreign exchange rates -- Mathematical models.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file (viewed on June 22, 2004).
"May 2004."
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.