| dc.contributor.author | HANSEN, Peter Reinhard | |
| dc.date.accessioned | 2016-01-21T11:14:57Z | |
| dc.date.available | 2016-01-21T11:14:57Z | |
| dc.date.issued | 2015 | |
| dc.identifier.citation | Economics letters, 2015, Vol. 133, pp. 14-18 | en |
| dc.identifier.issn | 1873-7374 | |
| dc.identifier.issn | 0165-1765 | |
| dc.identifier.uri | https://hdl.handle.net/1814/38564 | |
| dc.description | Available online 30 April 2015. | en |
| dc.description.abstract | We consider a multivariate time series whose increments are given from a homogeneous Markov chain. We show that the martingale component of this process can be extracted by a filtering method and establish the corresponding martingale decomposition in closed-form. This representation is useful for the analysis of time series that are confined to a grid, such as financial high frequency data. | en |
| dc.language.iso | en | en |
| dc.relation.ispartof | Economics letters | en |
| dc.title | A martingale decomposition of discrete Markov chains | en |
| dc.type | Article | en |
| dc.identifier.doi | 10.1016/j.econlet.2015.04.028 | |
| dc.identifier.volume | 133 | en |
| dc.identifier.startpage | 14 | en |
| dc.identifier.endpage | 18 | en |