Testing the Markov property with high frequency data

DOI10.1016/J.JECONOM.2007.01.007MaRDI QIDQ288343zbMATH OpenOpenAlexFDO

Authors João Amaro de Matos, Marcelo Fernandes

Publication date 25 May 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2007.01.007

zbMATH Keywords

U-statisticconditional independencedurationbid-ask spreadnonparametric testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Nonparametric tests of the Markov hypothesis in continuous-time models
• Testing for the Markov property in time series
• An improved test for continuous local martingales
• Statistical inferences for price staleness
• Testing whether the Nikkei225 best bid/ask price path follows the first order discrete Markov chain -- an approach in terms of the total ``\(\rho\)-variation

Cites work

• scientific article; zbMATH DE number 1057566 (Why is no real title available?)
• scientific article; zbMATH DE number 1069593 (Why is no real title available?)
• A Non-Parametric Test of Independence
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A consistent nonparametric test for serial independence
• A quadratic measure of deviation of two-dimensional density estimates and a test of independence
• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• Bootstrap Methods for Markov Processes
• Bootstrapping a consistent nonparametric goodness-of-fit test
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Comparing nonparametric versus parametric regression fits
• Consistent Nonparametric Entropy-Based Testing
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities
• Nonparametric curve estimation from time series
• Nonparametric specification tests for conditional duration models
• On goodness-of-fit tests for weakly dependent processes using kernel method
• On some global measures of the deviations of density function estimates
• Some comments on specification tests in nonparametric absolutely regular processes
• Some higher-order theory for a consistent non-parametric model specification test
• Subsampling
• Testing for a unit root in time series regression

Cited in

(9)

• Testing for the Markov property in time series
• Assessing Markov property in multistate transition models with applications to credit risk modeling
• High frequency trading and stock index returns: a nonlinear dynamic analysis
• Evidence of Markov properties of high frequency exchange rate data
• Statistical inferences for price staleness
• International market links and volatility transmission
• Testing whether the Nikkei225 best bid/ask price path follows the first order discrete Markov chain -- an approach in terms of the total ``\(\rho\)-variation
• Testing conditional independence via empirical likelihood
• Nonparametric tests for conditional independence using conditional distributions

This page was built for publication: Testing the Markov property with high frequency data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q288343)