Nonparametric transition-based tests for jump diffusions
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Cited in
(46)- Expansion for moments of regression quantiles with applications to nonparametric testing
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Parameter estimation and model testing for Markov processes via conditional characteristic functions
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- How to test that a given process is an Ornstein-Uhlenbeck process
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Specification test for Markov models with measurement errors
- High-frequency factor models and regressions
- Testing for symmetry and conditional symmetry using asymmetric kernels
- Testing conditional independence via empirical likelihood
- A test for model specification of diffusion processes
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Density estimation for nonlinear parametric models with conditional heteroscedasticity
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- A consistent test for multivariate conditional distributions
- Testing for the Markov property in time series
- Rejoinder on: ``An updated review of goodness-of-fit tests for regression models
- Asymptotic lower bounds in estimating jumps
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Nonparametric specification tests for stochastic volatility models based on volatility density
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- Testing for jump spillovers without testing for jumps
- Simultaneous specification testing of mean and variance structures in nonlinear time series regression
- International market links and volatility transmission
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
- Nonparametric tests of the Markov hypothesis in continuous-time models
- Jump‐robust testing of volatility functions in continuous time models
- Testing the volatility jumps based on the high frequency data
- Bias reduction estimation for drift coefficient in diffusion models with jumps
- Empirical‐process‐based specification tests for diffusion models
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- A model specification test for nonlinear stochastic diffusions with delay
- Reweighted Nadaraya-Watson estimation of stochastic volatility jump-diffusion models
- A goodness-of-fit test for functional time series with applications to Ornstein-Uhlenbeck processes
- A comparative review of specification tests for diffusion models
- A martingale approach for testing diffusion models based on infinitesimal operator
- Nonparametric model validations for hidden Markov models with applications in financial econometrics
- Generalized spectral testing for multivariate continuous-time models
- Semi-nonparametric estimation and misspecification testing of diffusion models
- A tale of two option markets: pricing kernels and volatility risk
- Variation-based tests for volatility misspecification
- Parametric and nonparametric models and methods in financial econometrics
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