A test for a parametric form of the volatility in second-order diffusion models

DOI10.1007/S00180-016-0685-ZMaRDI QIDQ1695433zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

bootstrapgeneralized likelihood ratio testlocal-linear fittingsecond-order diffusion models

Mathematics Subject Classification ID

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)

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Cites work

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Cited in

(4)

• Variance reduction estimation for return models with jumps using gamma asymmetric kernels
• Asymptotically distribution-free tests for the volatility function of a diffusion
• 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

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