TESTING FOR CONTINUOUS LOCAL MARTINGALES USING THE CROSSING TREE
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Publication:2802751
DOI10.1111/j.1467-842X.2011.00609.xzbMath1337.62197WikidataQ59200184 ScholiaQ59200184MaRDI QIDQ2802751
David A. Rolls, Owen Dafydd Jones
Publication date: 27 April 2016
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Brownian motion; subordinator; finance; foreign exchange; quadratic variation; realized volatility; time-change; scale; continuous martingale hypothesis; crossing-tree; tick data; chronometer
60G44: Martingales with continuous parameter
62M07: Non-Markovian processes: hypothesis testing
62M02: Markov processes: hypothesis testing
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