Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
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Publication:528171
DOI10.1016/j.jeconom.2012.10.001zbMath1443.62338OpenAlexW2072449043MaRDI QIDQ528171
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002333
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)
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Bivariate sub-Gaussian model for stock index returns ⋮ Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
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