Statistical tests of stochastic process models used in the financial theory of insurance companies

DOI10.1016/0167-6687(95)00030-5zbMath0853.62077OpenAlexW2121247866WikidataQ126589511 ScholiaQ126589511MaRDI QIDQ1921987

Robert C. Witt, Naim Sipra, Boaz Golany, Xiaohua Xia, Patrick L. Brockett

Publication date: 3 September 1996

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00030-5

zbMATH Keywords

financial time serieslinearitytesting for linearityinflation ratesexchange rate serieslog-linear processtesting for Gaussianity

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• The Calculation of Posterior Distributions by Data Augmentation
• Bispectral-Based Tests for the Detection of Gaussianity and Linearity in Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Martingales and ruin in a dynamical risk process
• An Introduction to Polyspectra
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