In this paper we develop tests for the hypothesis that a series (observed in discrete time) is generated by a diffusion process and discuss the results of these tests for several exchange rates and stock market indices. The tests of this hypothesis that have been proposed up to now in literature...

Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued phenomena that evolve in time.The distribution of an INAR(p) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the nonnegative...