A characterisation of, and hypothesis test for, continuous local martingales

DOI10.1214/ECP.V16-1673zbMATH Open1274.60140OpenAlexW1967147945WikidataQ59200181 ScholiaQ59200181MaRDI QIDQ428699FDOQ428699

Authors: David A. Rolls, Owen D. Jones 

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ecp.v16-1673

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zbMATH Keywords

time-changerealised volatilitycontinuous martingale hypothesiscrossing-tree

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Martingales with continuous parameter (60G44)

Cited In (3)

• An improved test for continuous local martingales
• Testing for continuous local martingales using the crossing tree
• Strict local martingales and the Khasminskii test for explosions

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