Katja Smetanina
Selected Publications
Perceived shocks and impulse responses
This paper develops a novel approach that leverages the information contained in expectations datasets to derive […]
A ratio test of the Martingale Hypothesis for Gross Returns
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based […]
Mean Ratio Statistic for measuring predictability
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based […]