Is Brownian motion necessary to model high-frequency data?
نویسندگان
چکیده
منابع مشابه
Brownian Motion Necessary to Model High - Frequency Data ?
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuous component is present, the other where the continuous component is absent, and the model is then driven by a pure jump process. When applied to high-frequency individual stock data, both tests poi...
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Let’s assume , ,.., 1 , n k t t k = = , 0 , 0 ) 1 ( 1 1 = − − + = t n T k t tk ) ))( ( ( k k t X x ⋅ Φ = is a model of observed time series . ... 1 n x x Let’s call ξ as a basic process of the model. Levy processes with independent stationary increments have been considered as basic for models of time series (particularly financial) [1-4]. The next step in the development of the models is trans...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2010
ISSN: 0090-5364
DOI: 10.1214/09-aos749