A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns

DOI10.1007/s00780-009-0088-xzbMath1224.91188MaRDI QIDQ2430251

Stefan Klößner

Publication date: 6 April 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0088-x

zbMATH Keywords

Lévy processes; permutation tests; time change; intraday returns; up- and downside volatility

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62G10: Nonparametric hypothesis testing

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)

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Cites Work

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