Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
From MaRDI portal
Publication:2347453
DOI10.1016/j.spa.2015.02.008zbMath1362.62106arXiv1403.0349MaRDI QIDQ2347453
Viktor Todorov, George Tauchen, Markus Reiss
Publication date: 27 May 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.0349
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
60G48: Generalizations of martingales
62M07: Non-Markovian processes: hypothesis testing
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