Tests of Financial Models in the Presence of Overlapping Observations.

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Richardson, Matthew; Smith, Tom;
(1991)
  • Journal: Review of Financial Studies,volume 4,issue 2,pages227-54

A general approach to testing serial dependence restrictions implied from financial models is developed. In particular, we discuss joint serial dependence restrictions imposed by random walk, market microstructure, and rational expectations models recently examined in t... View more
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