Information ratio test for model misspecification on parametric structures in stochastic diffusion models
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Publication:1927178
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Cites work
- A consistent bootstrap test for conditional density functions with time-series data
- A test for model specification of diffusion processes
- A theory of the term structure of interest rates
- Akaike's information criterion in generalized estimating equations
- An equilibrium characterization of the term structure
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Bootstrap Methods for Markov Processes
- Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
- Conditional score functions: Some optimality results
- Correlated data analysis: modeling, analytics, and applications
- Estimation for diffusion processes from discrete observation
- Exact simulation of diffusions
- scientific article; zbMATH DE number 5913352 (Why is no real title available?)
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- 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
- Large Sample Properties of Generalized Method of Moments Estimators
- Martingale estimation functions for discretely observed diffusion processes
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum Likelihood Estimation of Misspecified Models
- Nonparametric Pricing of Interest Rate Derivative Securities
- Nonparametric transition-based tests for jump diffusions
- On asymptotics of estimating functions
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- Retrospective exact simulation of diffusion sample paths with applications
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Specification testing in discretized diffusion models: theory and practice
- The IOS Test for Model Misspecification
- The Lindeberg-Levy Theorem for Martingales
Cited in
(10)- Goodness-of-fit test for specification of semiparametric copula dependence models
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- Parameter estimation for multivariate diffusion systems
- A specification test of stochastic diffusion models
- A unified approach to proving parametric bootstrap consistency for some goodness-of-fit tests
- Information ratio test for model misspecification in quasi-likelihood inference
- The IOS Test for Model Misspecification
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- Information matrix equivalence in the presence of censoring: a goodness-of-fit test for semiparametric copula models with multivariate survival data
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