ABSTRACT
The structure of the stochastic process provides a convenient method for
information (given the model being assumed). However, the hypothesis of
market efficiency states that, in general, the expected value of the future
eters of the original stochastic process are not free, but must be con-
strained. The restrictions are highly nonlinear. Section 2.4 will pro-
vide a computationally feasible method for calculating the likelihood func-
2.2 Econometric Testing and Procedures
one month is exactly four weeks.) If one wants to forecast lnS t +
(2.1)
where x t
represents variables relevant for forecasting lnS t +
o. (2.2)
Conditions (2.1) and (2.2) imply Eutu t
error has been made. Appendix A discusses the implication of the fact
that one month has approximately 4.3 weeks.
