Estimation and specification test for diffusion models with stochastic volatility
From MaRDI portal
estimationgoodness-of-fit teststochastic differential equationsstochastic volatilitydiffusion processes
Inference from stochastic processes and prediction (62M20) Diffusion processes (60J60) Inference from stochastic processes and spectral analysis (62M15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites work
- scientific article; zbMATH DE number 1666093 (Why is no real title available?)
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 1447423 (Why is no real title available?)
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A nonparametric specification test for the volatility functions of diffusion processes
- A nonparametric test for the regression function: Asymptotic theory
- A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
- A test for model specification of diffusion processes
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- An Asymptotic Theory of Growth Under Uncertainty
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Bootstrap Approximations in Model Checks for Regression
- Continuous Markov processes and stochastic equations
- Empirical‐process‐based specification tests for diffusion models
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- 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
- Estimation of stochastic volatility models by nonparametric filtering
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
- Filtering via Simulation: Auxiliary Particle Filters
- Fourier inference for stochastic volatility models with heavy-tailed innovations
- Gaussian sum particle filtering
- Generalized likelihood ratio statistics and Wilks phenomenon
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Goodness-of-fit test for stochastic volatility models
- Goodness-of-fit test for stochastic volatility models
- Goodness-of-fit test for the SVM based on noisy observations
- Goodness-of-fit tests for nonlinear heteroscedastic regression models
- Likelihood analysis of non-Gaussian measurement time series
- Markov chain Monte Carlo methods for stochastic volatility models.
- Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
- Maximum likelihood estimation of latent Markov models using closed-form approximations
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
- Multivariate Stochastic Variance Models
- Nonparametric model checks for regression
- Nonparametric model checks for time series
- Nonparametric specification tests for stochastic volatility models based on volatility density
- ON TESTING THE GOODNESS-OF-FIT OF NONLINEAR HETEROSCEDASTIC REGRESSION MODELS
- On a test for a parametric form of volatility in continuous time financial models
- On particle methods for parameter estimation in state-space models
- Particle filters and Bayesian inference in financial econometrics
- Particle learning and smoothing
- Quasi-maximum likelihood estimation of stochastic volatility models
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- Semimartingale detection and goodness-of-fit tests
- Specification testing in discretized diffusion models: theory and practice
- Statistical analysis with missing data
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stock price distributions with stochastic volatility: an analytic approach
- 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
- The Bickel-Rosenblatt test for continuous time stochastic volatility models
- The Dynamics of Short-Term Interest Rate Volatility Reconsidered
- The pricing of options and corporate liabilities
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
This page was built for publication: Estimation and specification test for diffusion models with stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7026517)
