Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
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Publication:291102
DOI10.1016/j.jeconom.2007.08.002zbMath1418.62284OpenAlexW1976657063MaRDI QIDQ291102
Publication date: 6 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.08.002
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Markov processes: hypothesis testing (62M02)
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