Goodness-of-fit test for interest rate models: an approach based on empirical processes
DOI10.1016/J.CSDA.2011.06.004zbMath1262.91154OpenAlexW2132255978MaRDI QIDQ1942884
Wenceslao González Manteiga, Manuel Febrero-Bande, Abelardo Monsalve-Cobis
Publication date: 14 March 2013
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.004
diffusion processesempirical processresidualsintegrated conditional variance functionintegrated regression function
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (7)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Specification testing in discretized diffusion models: theory and practice
- Nonparametric tests of the Markov hypothesis in continuous-time models
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- Testing for jumps in a discretely observed process
- Nonparametric model checks for regression
- On a test for a parametric form of volatility in continuous time financial models
- Nonparametric model checks for time series
- The surprise element: Jumps in interest rates.
- Simulation and inference for stochastic differential equations. With R examples.
- A test for model specification of diffusion processes
- A Theory of the Term Structure of Interest Rates
- TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- Goodness-of-Fit Methods for Generalized Linear Mixed Models
- RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
- Bootstrap Approximations in Model Checks for Regression
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- Specification Tests for the Variance of a Diffusion
- Nonparametric Transition-Based Tests for Jump Diffusions
- An equilibrium characterization of the term structure
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
This page was built for publication: Goodness-of-fit test for interest rate models: an approach based on empirical processes