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SEMIMARTINGALE DETECTION AND GOODNESS-OF-FIT TESTS

Bull, AD

Bull, AD (reprint author), Univ Cambridge, Stat Lab, Wilberforce Rd, Cambridge CB3 0WB, England.

ANNALS OF STATISTICS, 2017; 45 (3): 1254

Abstract

In quantitative finance, we often fit a parametric semimartingale model to asset prices. To ensure our model is correct, we must then perform goodness......

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