Abstract
We consider high frequency observations of a semi-martingale. From these data, we build simple test statistics allowing to distinguish between the two following situations: i) the data generating process is an Itō semi-martingale; ii) the data generating process is a Multifractal Random Walk. We also investigate the finite sample behavior of the test statistics on some simulated data.
Citation
Laurent Duvernet. Christian Y. Robert. Mathieu Rosenbaum. "Testing the type of a semi-martingale: Itō against multifractal." Electron. J. Statist. 4 1300 - 1323, 2010. https://doi.org/10.1214/10-EJS585
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