A specification test of stochastic diffusion models
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Cites work
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- A test for model specification of diffusion processes
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Bootstrap Methods for Markov Processes
- Estimating the jump activity index under noisy observations using high-frequency data
- Maximum Likelihood Estimation of Misspecified Models
- Modeling high-frequency financial data by pure jump processes
- On asymptotics of estimating functions
- On the jump activity index for semimartingales
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- Specification testing in discretized diffusion models: theory and practice
- Stochastic Limit Theory
- Testing for jumps in a discretely observed process
- The volatility of short-term interest rates: an empirical comparison of alternative models of the term structure of interest rates.
Cited in
(12)- A martingale approach for testing diffusion models based on infinitesimal operator
- Novel specification tests for synchronous additive concurrent model formulation based on martingale difference divergence
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Generalized spectral testing for multivariate continuous-time models
- A test for diffusion model based on multi-dimensional tail condition expectations
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Bootstrap specification tests for diffusion processes
- A test for model specification of diffusion processes
- Specification testing in discretized diffusion models: theory and practice
- Testing diffusion processes for non-stationarity
- Specification tests for univariate diffusions
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