Generalized spectral testing for multivariate continuous-time models
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conditional characteristic functionaffine jump-diffusion modeldiscrete-time distribution modelgeneralized cross-spectrummodel specification testmultivariate continuous-time modelLévy processes
Processes with independent increments; Lévy processes (60G51) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 758455 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A Conditional Kolmogorov Test
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A consistent characteristic function-based test for conditional independence
- A goodness-of-fit test of simple hypotheses based on the empirical characteristic function
- A test for model specification of diffusion processes
- A theory of the term structure of interest rates
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Alternative models for stock price dynamics.
- An equilibrium characterization of the term structure
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
- Consistent model specification tests
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Estimating continuous-time models with discretely sampled data
- Estimation of affine asset pricing models using the empirical characteristic function
- Filtering via Simulation: Auxiliary Particle Filters
- Generalization of GMM to a continuum of moment conditions
- Goodness-of-fit tests for a multivariate distribution by the empirical characteristic function
- Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
- Limiting behavior of U-statistics for stationary, absolutely regular processes
- Martingale Central Limit Theorems
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Moment inequalities for mixing sequences of random variables
- Nonparametric Pricing of Interest Rate Derivative Securities
- Nonparametric transition-based tests for jump diffusions
- Numerical solution of SDE through computer experiments. Including floppy disk
- Post-'87 crash fears in the S\&P 500 futures option market
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- Sequential Monte Carlo Methods in Practice
- Spectral GMM estimation of continuous-time processes
- Stochastic volatility models as hidden Markov models and statistical applications
- Testing normality: a GMM approach
- Testing the parametric specification of the diffusion function in a diffusion process
- The Monte-Carlo method for filtering with discrete-time observations
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(5)- Multivariate specification tests based on a dynamic Rosenblatt transform
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- A robust test for serial correlation in panel data models
- Model risk in the over-the-counter market
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
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