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

DOI10.1007/S00180-015-0630-6MaRDI QIDQ333367zbMATHOpenAlexFDO

Authors 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)

Recommendations

• New variance ratio tests to identify random walk from the general mean reversion model
• Modelling financial time series using multifractal random walks
• Statistical tests of distributional scaling properties for financial return series
• On non-Gaussianity and dependence in financial time series: a nonextensive approach
• scientific article; zbMATH DE number 2199143
• An empirical evaluation of fat-tailed distributions in modeling financial time series
• TheKolmogorov Legacy in Physics

Cites work

• scientific article; zbMATH DE number 3046038 (Why is no real title available?)
• Testing Statistical Hypotheses

Cited in

(2)

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

This page was built for publication: A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q333367)