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

DOI10.1016/0167-6687(95)00030-5MaRDI QIDQ1921987zbMATH OpenOpenAlexWikidataFDO

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

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

exchange rate seriesfinancial time seriesinflation rateslinearitylog-linear processtesting for Gaussianitytesting for linearity

Mathematics Subject Classification ID

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

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Cites work

• An Introduction to Polyspectra
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bispectral-Based Tests for the Detection of Gaussianity and Linearity in Time Series
• scientific article; zbMATH DE number 3436379 (Why is no real title available?)
• scientific article; zbMATH DE number 3253529 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Martingales and ruin in a dynamical risk process
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• The Calculation of Posterior Distributions by Data Augmentation
• The pricing of options and corporate liabilities

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