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2018 A Locally Asymptotically Optimal Test With Application to Financial Data
Tewfik Lounis, Joseph Ngatchou-Wandji
Afr. Diaspora J. Math. (N.S.) 21(1): 57-72 (2018).

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).

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Tewfik Lounis. Joseph Ngatchou-Wandji. "A Locally Asymptotically Optimal Test With Application to Financial Data." Afr. Diaspora J. Math. (N.S.) 21 (1) 57 - 72, 2018.

Information

Published: 2018
First available in Project Euclid: 11 April 2018

zbMATH: 1392.62269
MathSciNet: MR3783363

Subjects:
Primary: 62M10, 62N02, 62N03, 62P05

Rights: Copyright © 2018 Mathematical Research Publishers

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Vol.21 • No. 1 • 2018
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