Testing the parametric specification of the diffusion function in a diffusion process

DOI10.1017/S0266466607070107zbMATH Open1237.62102OpenAlexW1979147072MaRDI QIDQ2886941FDOQ2886941

Authors: Fuchun Li 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070107

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Markov processes: hypothesis testing (62M02)

Cites Work

• A theory of the term structure of interest rates
• Consistent model specification tests for time series econometric models
• On some global measures of the deviations of density function estimates
• An equilibrium characterization of the term structure
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Bootstrap conditional distribution tests in the presence of dynamic misspecification
• A consistent bootstrap test for conditional density functions with time-series data
• Nonparametric Pricing of Interest Rate Derivative Securities
• Specification Tests for the Variance of a Diffusion
• Fully Nonparametric Estimation of Scalar Diffusion Models

Cited In (21)

• 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
• 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 specification test for volatility function in diffusion model and its applications under microstructure noise
• Nonparametric Methods in Continuous Time Model Specification
• A test for model specification of diffusion processes
• Asymptotically distribution-free tests for the volatility function of a diffusion
• 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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