Martingale-Like Behavior of Prices and Interest Rates
1984-10
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Martingale-Like Behavior of Prices and Interest Rates
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1984-10
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Center for Economic Research, Department of Economics, University of Minnesota
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Working Paper
Abstract
Asset prices are shown to be "instantaneously unpredictable" as a
consequence of arbitrage and weak regularity conditions. Instantaneously
unpredictable processes are defined as those for which the coefficient of
determination in a regression of changes in the process on any function
of information available at the start of the forecast period tends to
zero as the length of the forecast period tends to zero. The results
obtained are important for the interpretation of tests of the efficient
markets hypothesis.
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Discussion Paper
205
205
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Sims, C.A., (1984), "Martingale-Like Behavior of Prices and Interest Rates", Discussion Paper No. 205, Center for Economic Research, Department of Economics, University of Minnesota.
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Sims, Christopher A.. (1984). Martingale-Like Behavior of Prices and Interest Rates. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55388.
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