Model checks for the volatility under microstructure noise
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Publication:1932237
DOI10.3150/11-BEJ384zbMath1329.62416arXiv1211.5507MaRDI QIDQ1932237
Publication date: 17 January 2013
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.5507
heteroscedasticity; goodness-of-fit test; stable convergence; parametric bootstrap; microstructure noise
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F03: Parametric hypothesis testing
62F40: Bootstrap, jackknife and other resampling methods
62M02: Markov processes: hypothesis testing
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