A Hausman test for Brownian motion |
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Authors: | Martin Becker Ralph Friedmann Stefan Klößner Walter Sanddorf-Köhle |
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Institution: | 1.Lehrstuhl für Statistik und ?konometrie,Universit?t des Saarlandes,Saarbrücken,Germany |
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Abstract: | New tests are proposed for the specification of the intraday price process of a risky asset,
based on open, high, low, and close prices. Under the null of a Brownian process we derive two stochastically
independent, unbiased volatility estimators. For a Hausman specification test we prove its equivalence
with an F-test, consider its robustness against variation in drift and volatility, and analyze the power
against an Ornstein–Uhlenbeck process, as well as a random walk with alternative distributions. |
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