African Diaspora Journal of Mathematics

A Locally Asymptotically Optimal Test With Application to Financial Data

Tewfik Lounis and Joseph Ngatchou-Wandji

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Abstract

A locally asymptotically optimal test is constructed for log-return processes. The behavior of the test statistic is studied under the null and under a sequence of local alternatives. A local asymptotic normality (LAN) result is previously established. Applying the test to log-return data, one rejects the hypothesis that they are independent and identically distributed (iid).

Article information

Source
Afr. Diaspora J. Math. (N.S.), Volume 21, Number 1 (2018), 57-72.

Dates
First available in Project Euclid: 11 April 2018

Permanent link to this document
https://projecteuclid.org/euclid.adjm/1523412027

Mathematical Reviews number (MathSciNet)
MR3783363

Zentralblatt MATH identifier
1392.62269

Subjects
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84] 62N02: Estimation 62N03: Testing 62P05: Applications to actuarial sciences and financial mathematics

Keywords
ARCH models Black Scholes model Brownian motion contiguity LAN log-returns Samuelson Model

Citation

Lounis, Tewfik; Ngatchou-Wandji, Joseph. A Locally Asymptotically Optimal Test With Application to Financial Data. Afr. Diaspora J. Math. (N.S.) 21 (2018), no. 1, 57--72. https://projecteuclid.org/euclid.adjm/1523412027


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