Journal article

An Improved Test for Continuous Local Martingales

David A Rolls, Owen D Jones

Communications in Statistics - Theory and Methods | TAYLOR & FRANCIS INC | Published : 2015

DOI: 10.1080/03610926.2013.788709

University of Melbourne Researchers

Owen Jones Author Mathematics and Statistics

Keywords

Physical Sciences

High-Frequency Data

Statistics & Probability

Time-Changed Brownian Motion

Science & Technology

1st Passage Times

Realized Volatility

Foreign Exchange

Hypothesis Testing

Continuous Martingale Hypothesis

Jump Diffusion Process