A locally asymptotically optimal test with application to financial data

zbMath1392.62269MaRDI QIDQ1751996

Joseph Ngatchou-Wandji, Tewfik Lounis

Publication date: 25 May 2018

Published in: African Diaspora Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.adjm/1523412027

zbMATH Keywords

Brownian motionARCH modelsBlack-Scholes modelcontiguityLANSamuelson modellog-returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Asymptotic properties of parametric tests (62F05)