This paper analyses the constant elasticity of volatility (CEV) model suggested by [6]. The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the power parameter...

This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The proposed tests are based on generalized methods of moments. In particular, overlapping observations are used and their dependencies (under the IID assumption) are explicitly...

Many non- and semi- parametric estimators have asymptotic properties that have been established under conditions that exclude the possibility of singular parts in the distribution. It is thus important to be able to test for absence of singularities. Methods of testing that focus on specific...