Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models

DOI10.1016/J.JECONOM.2008.12.020MaRDI QIDQ302189zbMATHOpenAlexFDO

Authors Jean-Marie Dufour, Pascale Valéry

Publication date 4 July 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.12.020

zbMATH Keywords

identificationexact testfinanceMonte Carlo testtestingWald teststochastic volatilitymaximized Monte Carlo test\(C(\alpha)\) testhomoskedasticityLM testLR testsingular moment conditionsstock pricestwo-factor volatility

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Testing for jumps in the stochastic volatility models
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
• Testing for a slowly changing level with special reference to stochastic volatility
• Goodness-of-fit test for stochastic volatility models

Cites work

• scientific article; zbMATH DE number 3169866 (Why is no real title available?)
• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• A test for the presence of conditional heteroskedasticity within arch-m framework
• Alternative models for stock price dynamics.
• Analysis of high dimensional multivariate stochastic volatility models
• Automatic Lag Selection in Covariance Matrix Estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Estimating stochastic volatility models through indirect inference
• Estimation of stochastic volatility models with diagnostics
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Invariance, Nonlinear Models, and Asymptotic Tests
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Markov chain Monte Carlo methods for stochastic volatility models.
• Modified Randomization Tests for Nonparametric Hypotheses
• Modified Wald tests under nonregular conditions
• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
• On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Quasi-maximum likelihood estimation of stochastic volatility models
• Simulation based finite and large sample tests in multivariate regressions
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• The asymptotic effect of substituting estimators for parameters in certain types of statistics

Cited in

(13)

• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Simple estimators and inference for higher-order stochastic volatility models
• Invariant tests based onM-estimators, estimating functions, and the generalized method of moments
• Statistical testing for asymptotic no-arbitrage in financial markets
• Asymptotically distribution-free tests for the volatility function of a diffusion
• scientific article; zbMATH DE number 1396191 (Why is no real title available?)
• Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
• Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach
• Maximum likelihood estimation of latent Markov models using closed-form approximations
• Generalized \(C(\alpha)\) tests for estimating functions with serial dependence
• A test for the rank of the volatility process: the random perturbation approach

This page was built for publication: Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q302189)