A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks

DOI10.1007/S00180-015-0630-6zbMATH Open1348.65025OpenAlexW152342635MaRDI QIDQ333367FDOQ333367

Yuri Heymann

Publication date: 28 October 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-015-0630-6

zbMATH Keywords

random walkhypothesis testinglognormality

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• Testing Statistical Hypotheses
• Title not available (Why is that?)

Cited In (2)

• Gaussian mixture modelling to detect random walks in capital markets
• Statistical tests of stochastic process models used in the financial theory of insurance companies

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