A specification test of stochastic diffusion models
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Publication:385188
DOI10.1007/S10255-013-0226-2zbMATH Open1283.62169OpenAlexW2395078626MaRDI QIDQ385188FDOQ385188
Authors: Qiu-xiang Bi, Zhenghong Wei, Shulin Zhang 
Publication date: 2 December 2013
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-013-0226-2
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Nonparametric statistical resampling methods (62G09) Markov processes: hypothesis testing (62M02) Martingales with discrete parameter (60G42)
Cites Work
- A theory of the term structure of interest rates
- Maximum Likelihood Estimation of Misspecified Models
- Stochastic Limit Theory
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- An equilibrium characterization of the term structure
- Testing for jumps in a discretely observed process
- Title not available (Why is that?)
- Bootstrap Methods for Markov Processes
- A test for model specification of diffusion processes
- Specification testing in discretized diffusion models: theory and practice
- On the jump activity index for semimartingales
- The volatility of short-term interest rates: an empirical comparison of alternative models of the term structure of interest rates.
- Estimating the jump activity index under noisy observations using high-frequency data
- Modeling high-frequency financial data by pure jump processes
- On asymptotics of estimating functions
Cited In (12)
- Bootstrap specification tests for diffusion processes
- Specification tests for univariate diffusions
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Specification testing in discretized diffusion models: theory and practice
- A test for diffusion model based on multi-dimensional tail condition expectations
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Generalized spectral testing for multivariate continuous-time models
- Novel specification tests for synchronous additive concurrent model formulation based on martingale difference divergence
- A test for model specification of diffusion processes
- Testing diffusion processes for non-stationarity
- A martingale approach for testing diffusion models based on infinitesimal operator
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
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