Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
DOI10.1111/J.1467-9469.2006.00479.XzbMATH Open1125.62084OpenAlexW2233142211MaRDI QIDQ3411074FDOQ3411074
Authors: Mark Podolskij, Mathias Vetter, Holger Dette 
Publication date: 8 December 2006
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/4903
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Cites Work
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Cited In (30)
- Testing the volatility jumps based on the high frequency data
- Assessing relative volatility/ intermittency/energy dissipation
- Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
- Understanding limit theorems for semimartingales: a short survey
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
- Model checks for the volatility under microstructure noise
- New testing and estimation methods for modelling developments of securities.
- Goodness-of-fit test for stochastic volatility models
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- 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
- Inference for the jump part of quadratic variation of Itô semimartingales
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Testing the local volatility assumption: a statistical approach
- Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales
- Stochastic volatility: approximation and goodness-of-fit test
- Goodness-of-fit test for stochastic volatility 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
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- An updated review of goodness-of-fit tests for regression models
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Inference from high-frequency data: a subsampling approach
- Goodness-of-fit testing for fractional diffusions
- Goodness-of-fit test for the SVM based on noisy observations
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