A comparative review of specification tests for diffusion models
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Cites work
- A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
- A consistent test of functional form via nonparametric estimation techniques
- A martingale approach for testing diffusion models based on infinitesimal operator
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- A nonparametric specification test for the volatility functions of diffusion processes
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A review on empirical likelihood methods for regression
- A test for model specification of diffusion processes
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- An Asymptotic Theory of Growth Under Uncertainty
- An equilibrium characterization of the term structure
- An Intertemporal General Equilibrium Model of Asset Prices
- An updated review of goodness-of-fit tests for regression models
- Applications of distance correlation to time series
- Applied stochastic control of jump diffusions
- Asymptotic behaviour of the empirical distance covariance for dependent data
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Bootstrap specification tests for diffusion processes
- Breaking the curse of dimensionality in nonparametric testing
- Brownian distance covariance
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Comparing nonparametric versus parametric regression fits
- Consistency of the Takens estimator for the correlation dimension
- Continuous Markov processes and stochastic equations
- Distance covariance for discretized stochastic processes
- Distance covariance for stochastic processes
- Empirical likelihood ratio confidence intervals for a single functional
- Energy statistics: a class of statistics based on distances
- Estimating functions for jump-diffusions
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Generalized likelihood ratio statistics and Wilks phenomenon
- Goodness of fit test for ergodic diffusion processes
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
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- scientific article; zbMATH DE number 2042814 (Why is no real title available?)
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- Interpoint distance tests for high-dimensional comparison studies
- Jump‐robust testing of volatility functions in continuous time models
- Martingale Approach in the Theory of Goodness-of-Fit Tests
- Martingale transforms goodness-of-fit tests in regression models.
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- Measuring and testing dependence by correlation of distances
- Measuring nonlinear dependence in time-series, a distance correlation approach
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- Model checks for regression: an innovation process approach
- Model checks of higher order time series
- Model diagnosis for parametric regression in high-dimensional spaces
- Nonparametric model checks for regression
- Nonparametric model checks for time series
- Nonparametric multivariate rank tests and their unbiasedness
- Nonparametric simultaneous tests for location and scale testing: a comparison of several methods
- Nonparametric transition-based tests for jump diffusions
- On a test for a parametric form of volatility in continuous time financial models
- On estimating the diffusion coefficient from discrete observations
- On Estimation of a Probability Density Function and Mode
- On some global measures of the deviations of density function estimates
- On the functional estimation of jump-diffusion models.
- On the goodness-of-fit testing for ergodic diffusion processes
- On the uniqueness of distance covariance
- Optimal rates of convergence for nonparametric estimators
- Rate-optimal tests for jumps in diffusion processes
- Remarks on Some Nonparametric Estimates of a Density Function
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Simultaneous specification testing of mean and variance structures in nonlinear time series regression
- Specification testing in discretized diffusion models: theory and practice
- Specification Tests for the Variance of a Diffusion
- Stationarity-based specification tests for diffusions when the process is nonstationary
- Testing for jumps in a discretely observed process
- Testing for the presence of jump components in jump diffusion models
- Testing heteroscedasticity in nonlinear and nonparametric regressions
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Testing the parametric specification of the diffusion function in a diffusion process
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- The affine arbitrage-free class of Nelson-Siegel term structure models
- The Bickel--Rosenblatt test for diffusion processes
- The distance correlation \(t\)-test of independence in high dimension
- The pricing of options and corporate liabilities
- The Use of \omega ^2 Tests for Testing Parametric Hypotheses
- Threshold estimation of Markov models with jumps and interest rate modeling
- Threshold models in non-linear time series analysis
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