Model checks for the volatility under microstructure noise

DOI10.3150/11-BEJ384zbMath1329.62416arXiv1211.5507MaRDI QIDQ1932237

Mathias Vetter, Dette, Holger

Publication date: 17 January 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.5507

zbMATH Keywords

heteroscedasticitygoodness-of-fit teststable convergenceparametric bootstrapmicrostructure noise

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Markov processes: hypothesis testing (62M02)

Related Items

Inference for time-varying lead-lag relationships from ultra-high-frequency data, Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment, Volatility of volatility: estimation and tests based on noisy high frequency data with jumps, Multidimensional specification test based on non-stationary time series, Estimation of integrated volatility of volatility with applications to goodness-of-fit testing, Testing the volatility jumps based on the high frequency data, Inference from high-frequency data: a subsampling approach, Distribution-free specification test for volatility function based on high-frequency data with microstructure noise, The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing, A nonparametric specification test for the volatility functions of diffusion processes

Uses Software

• nlmdl

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Bipower-type estimation in a noisy diffusion setting
• Quantile-preserving spread
• Microstructure noise in the continuous case: the pre-averaging approach
• Asymptotic properties of realized power variations and related functionals of semimartingales
• 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
• Technical Note—An Inequality for the Variance of Waiting Time under a General Queuing Discipline
• Diffusions with measurement errors. II. Optimal estimators
• Specification Tests for the Variance of a Diffusion
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Tale of Two Time Scales