Nonparametric tests of the Markov hypothesis in continuous-time models

Mathematics

• Null 100%
• Test Statistic 100%
• Continuous Time Model 100%
• Nonparametric Test 100%
• Asymptotics 50%
• Stochastics 50%
• Statistics 50%
• Discrete Time 50%
• Stochastic Volatility 50%
• time interval τ 50%
• Diffusion Process 50%
• Kolmogorov Equation 50%
• Stationary Process 50%

Keyphrases

• Stochastic Jump 50%
• Asymptotic null Distribution 50%
• Chapman-Kolmogorov Equation 50%