Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach

DOI10.1016/J.JECONOM.2007.08.002MaRDI QIDQ291102zbMATHOpenAlexFDO

Authors Mark Podolskij, Holger Dette

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

zbMATH Keywords

bootstrapheteroscedasticityspecification testsstable convergenceintegrated volatility

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• 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

(37)

• The Bickel-Rosenblatt test for continuous time stochastic volatility models
• On a test for a parametric form of volatility in continuous time financial models
• Model checks for the volatility under microstructure noise
• Testing the local volatility assumption: a statistical approach
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• Empirical‐process‐based specification tests for diffusion models
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
• Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
• Non-asymptotic statistical tests of the diffusion coefficient of stochastic differential equations
• Testing heteroscedasticity in nonlinear and nonparametric regressions
• Asymptotically distribution-free tests for the volatility function of a diffusion
• An updated review of goodness-of-fit tests for regression models
• A note on the central limit theorem for bipower variation of general functions
• Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
• Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
• A Hausman test for Brownian motion
• A nonparametric specification test for the volatility functions of diffusion processes
• Variation-based tests for volatility misspecification
• Specification analysis in regime-switching continuous-time diffusion models for market volatility
• 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
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Testing for the Box-Cox parameter for an integrated process
• Inference from high-frequency data: a subsampling approach
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
• A test for a parametric form of the volatility in second-order diffusion models
• Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• New testing and estimation methods for modelling developments of securities.
• Estimation of the volatility persistence in a discretely observed diffusion model
• Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales
• Assessing relative volatility/ intermittency/energy dissipation
• A test for the rank of the volatility process: the random perturbation approach

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