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

DOI10.1214/ECP.V16-1673MaRDI QIDQ428699zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

time-changerealised volatilitycontinuous martingale hypothesiscrossing-tree

Mathematics Subject Classification ID

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

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