A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
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Publication:2430251
DOI10.1007/s00780-009-0088-xzbMath1224.91188MaRDI QIDQ2430251
Publication date: 6 April 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0088-x
60G51: Processes with independent increments; Lévy processes
62G10: Nonparametric hypothesis testing
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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