A test for a parametric form of the volatility in second-order diffusion models
DOI10.1007/S00180-016-0685-ZzbMATH Open1417.62302OpenAlexW2522022257MaRDI QIDQ1695433FDOQ1695433
Authors: Tianshun Yan, Chang-Lin Mei 
Publication date: 7 February 2018
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-016-0685-z
Recommendations
- On a test for a parametric form of volatility in continuous time financial models
- A nonparametric specification test for the volatility functions of diffusion processes
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Variation-based tests for volatility misspecification
- Asymptotically distribution-free tests for the volatility function of a diffusion
Parametric hypothesis testing (62F03) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- Title not available (Why is that?)
- Comparing nonparametric versus parametric regression fits
- Nonparametric smoothing and lack-of-fit tests
- Generalized likelihood ratio statistics and Wilks phenomenon
- Bootstrap Approximations in Model Checks for Regression
- An equilibrium characterization of the term structure
- Title not available (Why is that?)
- Functional-Coefficient Regression Models for Nonlinear Time Series
- Goodness-of-fit tests for semiparametric biased sampling models
- Trending time-varying coefficient time series models with serially correlated errors
- Title not available (Why is that?)
- Specification Tests for the Variance of a Diffusion
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- On a test for a parametric form of volatility in continuous time financial models
- Goodness-of-fit tests for the Cox model via bootstrap method
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Nonparametric Inferences for Additive Models
- Testing the parametric specification of the diffusion function in a diffusion process
- Specification testing in discretized diffusion models: theory and practice
- NN goodness-of-fit tests for linear models
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- Nonparametric estimation of second-order stochastic differential equations
- Local linear estimation of second-order diffusion models
- Testing heteroscedasticity in nonlinear and nonparametric regressions
- Goodness of fit tests in random coefficient regression models
- Modeling financial time series through second-order stochastic differential equations
Cited In (4)
- Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
- A test for the rank of the volatility process: the random perturbation approach
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
This page was built for publication: A test for a parametric form of the volatility in second-order diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1695433)
