Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach (Q291102): Difference between revisions

@@ Property / author @@
-Dette, Holger
@@ Property / author: Dette, Holger / rank @@
-Normal rank
@@ Property / author @@
+Dette, Holger
@@ Property / author: Dette, Holger / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M02
@@ Property / Mathematics Subject Classification ID: 62M02 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
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@@ Property / zbMATH DE Number @@
+6589661
@@ Property / zbMATH DE Number: 6589661 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+specification tests
@@ Property / zbMATH Keywords: specification tests / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+integrated volatility
@@ Property / zbMATH Keywords: integrated volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bootstrap
@@ Property / zbMATH Keywords: bootstrap / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+heteroscedasticity
@@ Property / zbMATH Keywords: heteroscedasticity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stable convergence
@@ Property / zbMATH Keywords: stable convergence / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2007.08.002
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@@ Property / OpenAlex ID @@
+W1976657063
@@ Property / OpenAlex ID: W1976657063 / rank @@
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@@ Property / cites work @@
+Q3235904
@@ Property / cites work: Q3235904 / rank @@
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@@ Property / cites work @@
+On mixing and stability of limit theorems
@@ Property / cites work: On mixing and stability of limit theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Q5493536
@@ Property / cites work: Q5493536 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Specification Tests for the Variance of a Diffusion
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+On a test for a parametric form of volatility in continuous time financial models
+Normal rank
@@ Property / cites work @@
+Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
+Normal rank
@@ Property / cites work @@
+Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
+Normal rank
@@ Property / cites work @@
+Arbitrage pricing of Russian options and perpetual lookback options
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+Q4778955
@@ Property / cites work: Q4778955 / rank @@
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@@ Property / cites work @@
+On the pricing of American options
@@ Property / cites work: On the pricing of American options / rank @@
+Normal rank
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+Q4002114
@@ Property / cites work: Q4002114 / rank @@
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+Q4905685
@@ Property / cites work: Q4905685 / rank @@
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@@ Property / cites work @@
+Q5515900
@@ Property / cites work: Q5515900 / rank @@
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@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
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@@ Property / cites work @@
+An equilibrium characterization of the term structure
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@@ links / mardi / name / links / mardi / name @@
+Publication:291102