Testing the Markov property with high frequency data (Q288343)

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Testing the Markov property with high frequency data
scientific article

    Statements

    title
    Testing the Markov property with high frequency data (English)
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    author
    João Amaro de Matos
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    Marcelo Fernandes
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    publication date
    25 May 2016
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    zbMATH Keywords
    bid-ask spread
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    conditional independence
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    duration
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    nonparametric testing
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    U-statistic
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    cites work
    Q4352611
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    Subsampling
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    Q4356554
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62G10
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    62M10
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    62G09
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    62G20
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    zbMATH DE Number
    6584645
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    OpenAlex ID
    W2026766978
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