Testing the Markov property with high frequency data
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Publication:288343
DOI10.1016/j.jeconom.2007.01.007zbMath1418.62378OpenAlexW2026766978MaRDI QIDQ288343
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
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)
Related Items (5)
High frequency trading and stock index returns: a nonlinear dynamic analysis ⋮ Nonparametric tests for conditional independence using conditional distributions ⋮ TESTING FOR THE MARKOV PROPERTY IN TIME SERIES ⋮ Testing conditional independence via empirical likelihood ⋮ International market links and volatility transmission
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