Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
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Cites work
- scientific article; zbMATH DE number 3120956 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 3227597 (Why is no real title available?)
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Arbitrage pricing of Russian options and perpetual lookback options
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- On a test for a parametric form of volatility in continuous time financial models
- On mixing and stability of limit theorems
- On the pricing of American options
- Specification Tests for the Variance of a Diffusion
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- The pricing of options and corporate liabilities
Cited in
(40)- A Hausman test for Brownian motion
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- Non-asymptotic statistical tests of the diffusion coefficient of stochastic differential equations
- Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
- A goodness-of-fit test for functional time series with applications to Ornstein-Uhlenbeck processes
- Assessing relative volatility/ intermittency/energy dissipation
- Model checks for the volatility under microstructure noise
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
- New testing and estimation methods for modelling developments of securities.
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
- Testing the maximal rank of the volatility process for continuous diffusions observed with noise
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- A test for the rank of the volatility process: the random perturbation approach
- Estimation and specification test for diffusion models with stochastic volatility
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- The Bickel-Rosenblatt test for continuous time stochastic volatility models
- Empirical‐process‐based specification tests for diffusion models
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Estimation of the volatility persistence in a discretely observed diffusion model
- Testing the local volatility assumption: a statistical approach
- Variation-based tests for volatility misspecification
- Testing heteroscedasticity in nonlinear and nonparametric regressions
- Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales
- On a test for a parametric form of volatility in continuous time financial models
- A note on the central limit theorem for bipower variation of general functions
- Testing for the Box-Cox parameter for an integrated process
- A nonparametric specification test for the volatility functions of diffusion processes
- 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
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- 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
- Specification analysis in regime-switching continuous-time diffusion models for market volatility
- Inference from high-frequency data: a subsampling approach
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Identifying the number of latent factors of stochastic volatility models
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
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