An improved test for continuous local martingales

DOI10.1080/03610926.2013.788709MaRDI QIDQ2792264zbMATH OpenOpenAlexWikidataFDO

Authors David A. Rolls, Owen D. Jones

Publication date 8 March 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.788709

zbMATH Keywords

continuous local martingalesforeign exchangehigh-frequency datahypothesis testingjump-diffusion processestime-changed Brownian motion

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Brownian motion (60J65) Nonparametric hypothesis testing (62G10) Financial applications of other theories (91G80)

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Cites work

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• On a Test Whether Two Samples are from the Same Population
• ON CONTINUOUS MARTINGALES
• On first passage times of a hyper-exponential jump diffusion process
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• Testing for continuous local martingales using the crossing tree

Cited in

(8)

• Testing the type of a semi-martingale: Itō against multifractal
• Strict local martingales and the Khasminskii test for explosions
• A Hausman test for Brownian motion
• Testing for continuous local martingales using the crossing tree
• Testing the Markov property with high frequency data
• A characterisation of, and hypothesis test for, continuous local martingales
• Is Brownian motion necessary to model high-frequency data?
• Crossings states and sets of states in random walks

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