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

DOI10.1016/J.JECONOM.2007.08.002zbMATH Open1418.62284OpenAlexW1976657063MaRDI QIDQ291102FDOQ291102

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

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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)

Cites Work

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Cited In (37)

• Non-asymptotic statistical tests of the diffusion coefficient of stochastic differential equations
• 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
• Assessing relative volatility/ intermittency/energy dissipation
• Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
• Model checks for the volatility under microstructure noise
• Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
• New testing and estimation methods for modelling developments of securities.
• 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
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• Empirical‐process‐based specification tests for diffusion models
• The Bickel-Rosenblatt test for continuous time stochastic volatility 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
• Testing heteroscedasticity in nonlinear and nonparametric regressions
• Variation-based tests for volatility misspecification
• 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
• A nonparametric specification test for the volatility functions of diffusion processes
• Testing for the Box-Cox parameter for an integrated process
• Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
• Asymptotically distribution-free tests for the volatility function of a diffusion
• 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
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Inference from high-frequency data: a subsampling approach
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• A Hausman test for Brownian motion

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