Semimartingales Process
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1. Testing the presence of a Brownian component in semimartingale processes / Testando a presença do componente browniano em processos semimartingales
This paper attempts to test the presence of Brownian motion, ie a continuous component in semimartingales processes. We study procedures that allow to decide whether Brownian motion is actually present or whether it could be withdrawn in favor of a pure jump process with infinite activity. We used two statistical tests proposed in the article: Ait-Sahal and
Publicado em: 2010