The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

DOI10.1016/J.JECONOM.2019.06.002zbMATH Open1452.62753OpenAlexW2954294000WikidataQ127611199 ScholiaQ127611199MaRDI QIDQ2330737FDOQ2330737

Authors: Kim Christensen, Martin Thyrsgaard, Bezirgen Veliyev 

Publication date: 23 October 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.06.002

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zbMATH Keywords

goodness-of-fitempirical processesmicrostructure noisestochastic volatilityhigh-frequency datarealized variancepre-averaging

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (4)

• Inference on volatility curve at high frequencies via functional data analysis
• A GMM approach to estimate the roughness of stochastic volatility
• ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS
• Distribution-free specification test for volatility function based on high-frequency data with microstructure noise

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