Testing the Markov Property with Ultra-High Frequency Financial Data
This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2019
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| Texto completo: | http://hdl.handle.net/10362/83205 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/83205 |