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Drift burst test statistic in a pure jump semimartingale model
Mancini, Cecilia - 2021
Persistent link: https://www.econbiz.de/10013347728
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Drift burst test statistic in the presence of infinite variation jumps
Mancini, Cecilia - 2022
Persistent link: https://www.econbiz.de/10013535744
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Anytime-valid inference in linear models and regression-adjusted inference
Lindon, Michael; Ham, Dae Woong; Tingley, Martin; … - 2024
Persistent link: https://www.econbiz.de/10014487276
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Power variation and time change
Barndorff-Nielsen, Ole E. (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
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Testing the martingale hypothesis
Phillips, Peter C. B.; Jin, Sainan - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 537-554
Persistent link: https://www.econbiz.de/10010488434
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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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Specification tests for the distribution of errors in nonparametric regression : a martingale approach
Mora, Juan; Pérez-Alonso, Alicia - 2007
Persistent link: https://www.econbiz.de/10003963718
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Specification tests for the distribution of errors in nonoarametric regression : a martingale approach
Mora, Juan; Pérez-Alonso, Alicia - 2008
Persistent link: https://www.econbiz.de/10003871481
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Testing the martingale hypothesis for gross returns
Linton, Oliver; Smetanina, Ekaterina - In: Journal of empirical finance 38 (2016), pp. 664-689
Persistent link: https://www.econbiz.de/10011663757