Testing for continuous local martingales using the crossing tree
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Cites work
- A characterisation of, and hypothesis test for, continuous local martingales
- A Criterion for Testing the Hypothesis that Two Samples are from the Same Population
- A Kolmogorov Goodness-of-Fit Test for Discontinuous Distributions
- A risky asset model with strong dependence through fractal activity time
- A Runs Test Based on Run Lengths
- A Test for Randomness
- A theory of the term structure of interest rates
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Goodness-of-Fit Tests for Discrete Data: A Review and an Application to a Health Impairment Scale
- scientific article; zbMATH DE number 3785938 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 3059918 (Why is no real title available?)
- Is Brownian motion necessary to model high-frequency data?
- Large-sample results for Kolmogorov-Smirnov statistics for discrete distributions
- Model specification testing of time series regressions
- Modeling and Forecasting Realized Volatility
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- On a Test Whether Two Samples are from the Same Population
- ON CONTINUOUS MARTINGALES
- On the Decomposition of Continuous Submartingales
- Realized Volatility and Long Memory: An Overview
- Realized Volatility: A Review
- Simulation of Brownian motion at first-passage times
- Spectral based testing of the martingale hypothesis
- Testing for jumps in a discretely observed process
- The pricing of options on assets with stochastic volatilities
- Two singular diffusion problems
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