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TESTING WHETHER JUMPS HAVE FINITE OR INFINITE ACTIVITY
TESTING WHETHER JUMPS HAVE FINITE INFINITE ACTIVITY
2014/3/13
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treat...
New procedures for testing whether stock price processes are martingales
betting strategy efficient market hypothesis (EMH) game-theoretic probability sequential test
2010/11/1
We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock p...