Testing for the existence of a generalized Wiener process : the case of stock prices

Melvin. J. Hinich, Phillip Wild, and John Foster

In this article, we present two nonparametric trispectrum based tests for testing the hypothesis that an observed time series was generated by what we call a generalized Wiener process (GWP). Assuming the existence of a Weiner process for asset rates of return is critical to the Black- Scholes model and its extension by Merton (BSM). The Hinich trispectrum-based test of linearity and the trispectrum extension of the Hinich-Rothman bispectrum test for time reversibility are used to test the validity of BSM. We apply the tests to a selection of high frequency NYSE and Australian (ASX) stocks

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Year of publication:	[2010]
Authors:	Hinich, Melvin J. ; Wild, Phillip ; Foster, John
Institutions:	University of Queensland / School of Economics (contributor)
Publisher:	[Brisbane] : University of Queensland, School of Economics
Subject:	Bonferroni Test \| Stochastischer Prozess \| Stochastic process \| Black-Scholes-Modell \| Black-Scholes model \| Statistischer Test \| Statistical test \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Theorie \| Theory
Description of contents:	Description [pandora.nla.gov.au]

Extent:	Online-Ressource (40 S., 182,20 Kb)
Series:	School of Economics discussion papers series. - Brisbane : [Verlag nicht ermittelbar], ZDB-ID 2188017-7. - Vol. 408
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Title from title screen (viewed on Sept. 30, 2010) Includes bibliographical references Text Mode of access: Internet via the World Wide Web. Available at: http://www.uq.edu.au/economics/abstract/408.pdf System requirements: Adobe Acrobat reader to read PDF file Systemvoraussetzungen: Acrobat Reader
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10008668224