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A Hausman test for Brownian motion

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Author Info

  • Martin Becker
  • Ralph Friedmann

    ()

  • Stefan Klößner
  • Walter Sanddorf-Köhle
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10182-006-0019-5
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    Bibliographic Info

    Article provided by Springer in its journal AStA Advances in Statistical Analysis.

    Volume (Year): 91 (2007)
    Issue (Month): 1 (March)
    Pages: 3-21

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    Handle: RePEc:spr:alstar:v:91:y:2007:i:1:p:3-21

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    Web page: http://www.springerlink.com/link.asp?id=112915

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    Related research

    Keywords: Hausman test; Brownian process; High-Low-Prices;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Michael W. Brandt & Francis X. Diebold, 2003. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," NBER Working Papers 9664, National Bureau of Economic Research, Inc.
    2. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range-Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, 06.
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    Cited by:
    1. Martin Becker, 2010. "Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing," Computational Management Science, Springer, vol. 7(1), pages 1-17, January.
    2. Stefan Klößner, 2010. "A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns," Finance and Stochastics, Springer, vol. 14(1), pages 1-12, January.
    3. Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012. "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1152-1163.

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