Statistical tests of stochastic process models used in the financial theory of insurance companies

DOI10.1016/0167-6687(95)00030-5zbMath0853.62077MaRDI QIDQ1921987

Boaz Golany, Xiaohua Xia, Patrick L. Brockett, Robert C. Witt, Naim Sipra

Publication date: 3 September 1996

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00030-5

zbMATH Keywords

financial time series; linearity; testing for linearity; inflation rates; exchange rate series; log-linear process; testing for Gaussianity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

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