Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
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Cites work
- An equilibrium characterization of the term structure
- Asymptotic Statistics
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- scientific article; zbMATH DE number 46726 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- On a test for a parametric form of volatility in continuous time financial models
- On the pricing of American options
- Specification Tests for the Variance of a Diffusion
- The pricing of options and corporate liabilities
- Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
Cited in
(33)- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Model checks for the volatility under microstructure noise
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Goodness-of-fit testing for fractional diffusions
- Testing the maximal rank of the volatility process for continuous diffusions observed with noise
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- New testing and estimation methods for modelling developments of securities.
- Inference for the jump part of quadratic variation of Itô semimartingales
- An updated review of goodness-of-fit tests for regression models
- Goodness-of-fit test for stochastic volatility models
- Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
- Goodness-of-fit test for stochastic volatility models
- Testing the local volatility assumption: a statistical approach
- Assessing relative volatility/ intermittency/energy dissipation
- Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales
- Inference from high-frequency data: a subsampling approach
- Stochastic volatility: approximation and goodness-of-fit test
- Goodness-of-fit test for the SVM based on noisy observations
- A nonparametric specification test for the volatility functions of diffusion processes
- Testing the volatility jumps based on the high frequency data
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
- Understanding limit theorems for semimartingales: a short survey
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
- Identifying the number of latent factors of stochastic volatility models
- Estimation and specification test for diffusion models with stochastic volatility
- A comparative review of specification tests for diffusion models
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- A note on the central limit theorem for bipower variation of general functions
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