A nonparametric specification test for the volatility functions of diffusion processes
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Cites work
- A consistent nonparametric test for causality in quantile
- A consistent nonparametric test of parametric regression models under conditional quantile restrictions
- A consistent test for conditional heteroskedasticity in time-series regression models
- A consistent test of functional form via nonparametric estimation techniques
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- Consistent specification testing for conditional symmetry
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- scientific article; zbMATH DE number 4036922 (Why is no real title available?)
- Model checks for the volatility under microstructure noise
- On a test for a parametric form of volatility in continuous time financial models
- On the goodness-of-fit testing for ergodic diffusion processes
- Semimartingale detection and goodness-of-fit tests
- Specification Tests for the Variance of a Diffusion
- 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
- Variation-based tests for volatility misspecification
Cited in
(23)- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- A test for a parametric form of the volatility in second-order diffusion models
- On a test for a parametric form of volatility in continuous time financial models
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- Goodness-of-fit testing for fractional diffusions
- A test for the rank of the volatility process: the random perturbation approach
- Testing the parametric specification of the diffusion function in a diffusion process
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Specification testing in discretized diffusion models: theory and practice
- Testing for multivariate volatility functions using minimum volume sets and inverse regression
- Nonparametric Methods in Continuous Time Model Specification
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Specification Tests for the Variance of a Diffusion
- Nonparametric specification tests for stochastic volatility models based on volatility density
- Specification tests for univariate diffusions
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Jump‐robust testing of volatility functions in continuous time models
- Empirical‐process‐based specification tests for diffusion models
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
- Estimation and specification test for diffusion models with stochastic volatility
- A comparative review of specification tests for diffusion models
- Variation-based tests for volatility misspecification
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