Browsing by Subject "Brownian bridge"

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    • Article  

      A maximum entropy type test of fit 

      Lee, S.-J.; Vonta, Filia; Karagrigoriou, Alex (2011)
      In this paper, we propose a test of fit based on maximum entropy. The asymptotic distribution of the proposed test statistic is established and a corrected form for small and medium sample sizes is furnished. The performance ...
    • Article  

      Monitoring disruptions in financial markets 

      Andreou, Elena; Ghysels, Eric (2006)
      We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...