Asymptotically distribution-free tests for the volatility function of a diffusion
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
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- A theory of the term structure of interest rates
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- An equilibrium characterization of the term structure
- Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View
- Bootstrap specification tests for diffusion processes
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Conditional variance model checking
- Efficiency of the empirical distribution for ergodic diffusion
- Fully Nonparametric Estimation of Scalar Diffusion Models
- 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
- Inference on the Quantile Regression Process
- Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing
- Martingale Approach in the Theory of Goodness-of-Fit Tests
- Martingale transforms goodness-of-fit tests in regression models.
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- Stationarity-based specification tests for diffusions when the process is nonstationary
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- Testing heteroscedasticity in nonlinear and nonparametric regressions
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- Testing the parametric specification of the diffusion function in a diffusion process
Cited in
(19)- On a test for a parametric form of volatility in continuous time financial models
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- Empirical‐process‐based specification tests for diffusion models
- Permutation test for heterogeneous treatment effects with a nuisance parameter
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- A martingale approach for testing diffusion models based on infinitesimal operator
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
- Statistical testing for asymptotic no-arbitrage in financial markets
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A nonparametric specification test for the volatility functions of diffusion processes
- Variation-based tests for volatility misspecification
- Asymptotically optimal tests for a discrete time random field HJM type interest rate model
- A test for a parametric form of the volatility in second-order diffusion models
- A goodness-of-fit test for copulas based on martingale transformation
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Jump‐robust testing of volatility functions in continuous time models
- Specification tests for univariate diffusions
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