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

DOI10.1214/ECP.v16-1673zbMath1274.60140OpenAlexW1967147945WikidataQ59200181 ScholiaQ59200181MaRDI QIDQ428699

David A. Rolls, Owen Dafydd 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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An Improved Test for Continuous Local Martingales ⋮ TESTING FOR CONTINUOUS LOCAL MARTINGALES USING THE CROSSING TREE

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