Testing for the existence of a generalized Wiener process [electronic resource] : the case of stock...
Testing for the existence of a generalized Wiener process [electronic resource] : the case of stock prices / Melvin. J. Hinich, Phillip Wild, and John Foster.
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Author / Creator
Publisher
[Brisbane : School of Economics, University of Queensland, 2010]
Date
2010]
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MMS ID
Language
English
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Publication information
Publisher
[Brisbane : School of Economics, University of Queensland, 2010]
Series
Place of Publication
Queensland
Date Published
2010]
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Scope and Contents
Summary
In this article, we present two nonparametric trispectrum based tests for testing the hypothesis that an observed time series was generated by what we call a generalized Wiener process (GWP). Assuming the existence of a Weiner process for asset rates of return is critical to the Black- Scholes model and its extension by Merton (BSM). The Hinich tr...
Alternative Titles
Full title
Testing for the existence of a generalized Wiener process [electronic resource] : the case of stock prices / Melvin. J. Hinich, Phillip Wild, and John Foster.
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Author / Creator
Notes
General note
[Discussion papers / University of Queensland, School of Economics ; no. 408]
Title from title screen (viewed on Sept. 30, 2010).
Includes bibliographical references.
System details note
Mode of access: Internet via the World Wide Web. Available at: http://www.uq.edu.au/economics/abstract/408.pdf.
System requirements: Adobe Acrobat reader to read PDF file.
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Other version (online)
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Record Identifier
74VM0oyRM6VO
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VM0oyRM6VO
Other Identifiers
DDC
530.475
MMS ID
991001821009702626
