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

DOI10.1016/J.JECONOM.2008.12.020zbMATH Open1429.62661OpenAlexW2076981880MaRDI QIDQ302189FDOQ302189

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

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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)

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Cited In (13)

• 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
• 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
• Statistical testing for asymptotic no-arbitrage in financial markets
• A test for the rank of the volatility process: the random perturbation approach
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• Simple estimators and inference for higher-order stochastic volatility models
• Maximum likelihood estimation of latent Markov models using closed-form approximations
• Generalized \(C(\alpha)\) tests for estimating functions with serial dependence
• Invariant tests based onM-estimators, estimating functions, and the generalized method of moments
• Asymptotically distribution-free tests for the volatility function of a diffusion
• Title not available (Why is that?)

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