Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach

DOI10.1016/j.jeconom.2007.08.002zbMath1418.62284OpenAlexW1976657063MaRDI QIDQ291102

Mark Podolskij, Dette, Holger

Publication date: 6 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.08.002

zbMATH Keywords

bootstrapheteroscedasticityspecification testsstable convergenceintegrated volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Markov processes: hypothesis testing (62M02)

Related Items (21)

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• A Theory of the Term Structure of Interest Rates
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Specification Tests for the Variance of a Diffusion
• An equilibrium characterization of the term structure

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