Semimartingale detection and goodness-of-fit tests

DOI10.1214/16-AOS1484MaRDI QIDQ2012935zbMATH OpenOpenAlexFDO

Authors Adam D. Bull

Publication date 3 August 2017

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.00088, https://projecteuclid.org/euclid.aos/1497319694

zbMATH Keywords

diffusiongoodness-of-fitjump processsemimartingalewavelets

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric hypothesis testing (62G10) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: In quantitative finance, we often fit a parametric semimartingale model to asset prices. To ensure our model is correct, we must then perform goodness-of-fit tests. In this paper, we give a new goodness-of-fit test for volatility-like processes, which is easily applied to a variety of semimartingale models. In each case, we reduce the problem to the detection of a semimartingale observed under noise. In this setting, we then describe a wavelet-thresholding test, which obtains adaptive and near-optimal detection rates.

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(8)

• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Some applications of \(M\)-ary detection in quantitative finance
• Goodness-of-fit test for the SVM based on noisy observations
• A nonparametric specification test for the volatility functions of diffusion processes
• Testing the volatility jumps based on the high frequency data
• Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
• Estimation and specification test for diffusion models with stochastic volatility

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