Nonparametric Methods in Continuous Time Model Specification

DOI10.1080/07474930600972558MaRDI QIDQ3432679zbMATH OpenOpenAlexFDO

Authors Isabel Casas, Jiti Gao

Publication date 18 April 2007

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930600972558

zbMATH Keywords

continuous-time modelfinancial econometricsnonparametric kernelspecification testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

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Cites work

• A simple consistent bootstrap test for a parametric regression function
• A theory of the term structure of interest rates
• ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
• An equilibrium characterization of the term structure
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• Nonparametric Pricing of Interest Rate Derivative Securities
• Some higher-order theory for a consistent non-parametric model specification test
• The pricing of options and corporate liabilities

Cited in

(16)

• Nonparametric dynamic modeling
• A test for model specification of diffusion processes
• Bootstrap specification tests for diffusion processes
• Nonparametric estimation of time varying parameters under shape restrictions
• Testing the parametric specification of the diffusion function in a diffusion process
• Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
• Specification testing in discretized diffusion models: theory and practice
• Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
• Nonparametric estimation and prediction for continuous time processes
• A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
• Nonparametric transition-based tests for jump diffusions
• ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
• A nonparametric specification test for the volatility functions of diffusion processes
• Empirical‐process‐based specification tests for diffusion models
• Semi-nonparametric estimation and misspecification testing of diffusion models
• Sizes of two bootstrap-based nonparametric specification tests for the drift function in continuous time models

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