Testing the Markov property with high frequency data

DOI10.1016/J.JECONOM.2007.01.007zbMATH Open1418.62378OpenAlexW2026766978MaRDI QIDQ288343FDOQ288343

Authors: João Amaro de Matos, Marcelo Fernandes 

Publication date: 25 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.01.007

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zbMATH Keywords

U-statisticconditional independencedurationbid-ask spreadnonparametric testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (9)

• Evidence of Markov properties of high frequency exchange rate data
• Assessing Markov property in multistate transition models with applications to credit risk modeling
• Testing for the Markov property in time series
• Testing conditional independence via empirical likelihood
• Nonparametric tests for conditional independence using conditional distributions
• High frequency trading and stock index returns: a nonlinear dynamic analysis
• Testing whether the Nikkei225 best bid/ask price path follows the first order discrete Markov chain -- an approach in terms of the total ``\(\rho\)-variation
• Statistical inferences for price staleness
• International market links and volatility transmission

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