A locally asymptotically optimal test with application to financial data

MaRDI QIDQ1751996zbMATH OpenFDO

Authors Tewfik Lounis, Joseph Ngatchou-Wandji

Publication date 25 May 2018

Published in African Diaspora Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.adjm/1523412027

zbMATH Keywords

ARCH modelsBlack-Scholes modelBrownian motioncontiguityLANlog-returnsSamuelson model

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(2)

• Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
• Statistical testing for asymptotic no-arbitrage in financial markets

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