Testing the parametric specification of the diffusion function in a diffusion process
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Cites work
- A consistent bootstrap test for conditional density functions with time-series data
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Central limit theorem for integrated square error of multivariate nonparametric density estimators
- Consistent model specification tests for time series econometric models
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Goodness-of-fit tests for kernel regression with an application to option implied volatilities
- Limiting behavior of U-statistics for stationary, absolutely regular processes
- Nonparametric Pricing of Interest Rate Derivative Securities
- On some global measures of the deviations of density function estimates
- Specification Tests for the Variance of a Diffusion
Cited in
(22)- Specification tests for univariate diffusions
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Jump‐robust testing of volatility functions in continuous time models
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- Specification testing in discretized diffusion models: theory and practice
- Estimation and specification test for diffusion models with stochastic volatility
- Generalized spectral testing for multivariate continuous-time models
- Empirical‐process‐based specification tests for diffusion models
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- A nonparametric specification test for the volatility functions of diffusion processes
- Nonparametric Methods in Continuous Time Model Specification
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
- A test for model specification of diffusion processes
- Testing diffusion processes for non-stationarity
- A martingale approach for testing diffusion models based on infinitesimal operator
- Semi-nonparametric estimation and misspecification testing of diffusion models
- A test for a parametric form of the volatility in second-order diffusion models
- An updated review of goodness-of-fit tests for regression models
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
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