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20092020
most citedLooking for continuous local martingales with the crossing tree (Working Paper)

3 citations · 6 across the 3 of their papers we have counts for

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math.ST2009★ 3 cited

Looking for continuous local martingales with the crossing tree (Working Paper)

Owen D. Jones, David A. Rolls

We present statistical tests for the continuous martingale hypothesis. That is, whether an observed process is a continuous local martingale, or equivalently a continuous time-chan…