Testing for embeddability by stationary reversible continuous-time markov processes

Jean Pierre Florens, Eric Renault, Nizar Touzi

Research output: Contribution to journalArticlepeer-review


Given an observation of a discrete-time process {Yi, i = 0 . . . n} assumed to be Markov, stationary, and time reversible, we develop a (conservative) test procedure of embeddability by a continuous-time reversible Markov process. The test statistic is derived from a set of moment inequality restrictions implied by the spectral properties of such continuous-time processes. Most interesting is that the embeddability condition of interest is a direct extension of the well-known embeddability problem by a two-state Markov chain. Empirical experiments show that the embeddability hypothesis is rejected more frequently for exchange rate daily data than for stock indices data.

Original languageEnglish (US)
Pages (from-to)744-769
Number of pages26
JournalEconometric Theory
Issue number6
StatePublished - 1998

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics


Dive into the research topics of 'Testing for embeddability by stationary reversible continuous-time markov processes'. Together they form a unique fingerprint.

Cite this