Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models

2021 ◽  
pp. 1-15
Author(s):  
Guochang Wang ◽  
Ke Zhu ◽  
Xiaofeng Shao
Keyword(s):  
Time Series ◽  
Multivariate Time Series ◽  
Time Series Models ◽  
Martingale Difference

scholarly journals Transmisión de precios en los mercados regionales de ovino en España

2011 ◽  
Vol 3 (1) ◽  
pp. 71 ◽  
Author(s):  
L. Boshnjaku ◽  
B. Ben-Kaabia ◽  
José M. Gil
Keyword(s):  
Time Series ◽  
Multivariate Time Series ◽  
Commodity Markets ◽  
Time Series Models ◽  
The North ◽  
Long Run ◽  
Stochastic Properties ◽  
Price Relationships

The analysis of price relationships in commodity markets provides an approximate idea on markets performance as well as allows the researcher to analyze price responses to unanticipated shocks. The objective of this paper is to explore price relationships in geographical separated markets in the Spanish lamb sector. The methodology used is based on the specification of multivariate time series models which are flexible enough to take into account the stochastic properties of data, the multivariate nature of price relationships and to distinguish between short- and long-run horizons. Results indicate that lamb markets in Spain are strongly related being Zafra the leading market. The influence of Zafra is substantial in the southern markets while in the North, the Lonja del Ebro could be considered as the most representative market.

Using Multivariate Time Series Models in Systemic Analysis

1992 ◽  
pp. 213-228 ◽  
Author(s):  
Klaus Ackermann ◽  
Uta Streit ◽  
Hansjörg Ebell ◽  
Arno Steitz ◽  
Ilse M. Zalaman ◽  
...  
Keyword(s):  
Time Series ◽  
Multivariate Time Series ◽  
Time Series Models ◽  
Systemic Analysis
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