Goodness-of-Fit Test in Multivariate Jump Diffusion Models
From MaRDI portal
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A martingale approach for testing diffusion models based on infinitesimal operator
- A tale of two option markets: pricing kernels and volatility risk
- A test for model specification of diffusion processes
- A theory of the term structure of interest rates
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- An equilibrium characterization of the term structure
- ARCH models as diffusion approximations
- Asymptotic theory of statistics and probability
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Bootstrap Methods for Markov Processes
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Closed-form likelihood expansions for multivariate diffusions
- Correlated data analysis: modeling, analytics, and applications
- Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
- Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
- Handbooks in operations research and management science: Financial engineering
- Hermite polynomial based expansion of European option prices
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- Information ratio test for model misspecification in quasi-likelihood inference
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum Likelihood Estimation of Misspecified Models
- Mixing: Properties and examples
- Nonparametric transition-based tests for jump diffusions
- On the approximate maximum likelihood estimation for diffusion processes
- On the jump activity index for semimartingales
- On the lack of power of omnibus specification tests
- Post-'87 crash fears in the S\&P 500 futures option market
- Pseudo Maximum Likelihood Methods: Theory
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Testing for jumps in a discretely observed process
- Testing the parametric specification of the diffusion function in a diffusion process
- The delta expansion for the transition density of diffusion models
- The dynamics of stochastic volatility: evidence from underlying and options markets
- The IOS Test for Model Misspecification
Cited in
(2)
This page was built for publication: Goodness-of-Fit Test in Multivariate Jump Diffusion Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6634860)
