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• W1603997264 abstract "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 trispectrum-based test of linearity and the trispectrum extension of the Hinich-Rothman bispectrum test for time reversibility are used to test the validity of BSM. We apply the tests to a selection of high frequency NYSE and Australian (ASX) stocks." @default.
• W1603997264 created "2016-06-24" @default.
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• W1603997264 date "2010-01-01" @default.
• W1603997264 modified "2023-09-27" @default.
• W1603997264 title "Testing for the Existence of a Generalized Wiener Process- the Case of Stock Prices" @default.
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