Katja Smetanina

Selected Publications

Journal Article
Working Paper
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 […]

Oliver Linton, Katja Smetanina
1 September 2016 | Journal Article
Mean Ratio Statistic for measuring predictability

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based […]

Oliver Linton, Katja Smetanina
20 February 2015 | CWP08/15
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