Dynamic testing of volatility models' calibration using E-values

DOI10.1016/J.SPL.2025.110515MaRDI QIDQ6880282zbMATH OpenFDO

Authors Davide Carmelo Di Leonforte, Nina Deliu

Publication date 19 December 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110515

zbMATH Keywords

model choicefinancial time seriesvolatility modelssequential testingprobabilistic forecasts

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Mathematical economics (91Bxx) Inference from stochastic processes (62Mxx)

Cites work

• scientific article; zbMATH DE number 947427 (Why is no real title available?)
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• Volatility clustering in financial markets: empirical facts and agent-based models

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