Specification testing in discretized diffusion models: theory and practice
DOI10.1016/j.jeconom.2008.09.006zbMath1429.62468OpenAlexW1964702858MaRDI QIDQ299265
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/11980/1/MPRA_paper_11980.pdf
kernel methodsize functionpower functionnonparametric testingcontinuous-time diffusion processtime series econometrics
Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)
Related Items (12)
Cites Work
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