Matos, Joao Amaro de; Fernandes, Marcelo - Faculdade de Economia, Universidade Nova de Lisboa - 2004
This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some...