Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets

DOI10.1016/j.mcm.2011.04.022zbMath1228.91057OpenAlexW2016118312MaRDI QIDQ652875

Chin Wen Cheong

Publication date: 18 December 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.04.022

zbMATH Keywords

financial time seriesstructural breakvariance ratio testenergy spot marketsmartingale process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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