Testing the Markov property with high frequency data

DOI10.1016/j.jeconom.2007.01.007zbMath1418.62378MaRDI 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

zbMATH Keywords

duration; conditional independence; bid-ask spread; nonparametric testing; U-statistic

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G09: Nonparametric statistical resampling methods

Related Items

International market links and volatility transmission, Testing conditional independence via empirical likelihood, 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

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