Testing for diffusion in a discretely observed semimartingale

DOI10.1016/j.jkss.2010.03.004zbMath1294.62094OpenAlexW2013492420MaRDI QIDQ2511575

Zhi Liu, Xin-Bing Kong, Bing-Yi Jing

Publication date: 6 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.03.004

zbMATH Keywords

asymptotic normalitypower variationpurely discontinuoussemimaringalestesting the diffusion

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

Cites Work

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• La variation d'ordre p des semi-martingales
• Stochastic Volatility for Lévy Processes
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