Goodness-of-fit test for stochastic volatility models
From MaRDI portal
Publication:391575
DOI10.1016/j.jmva.2013.01.006zbMath1277.62125MaRDI QIDQ391575
Sangyeol Lee, Liang-Ching Lin, Mei-Hui Guo
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.01.006
62G10: Nonparametric hypothesis testing
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G09: Nonparametric statistical resampling methods
Related Items
Goodness–of–Fit Test for Stochastic Volatility Models, Optimal restricted quadratic estimator of integrated volatility, Rejoinder on: ``An updated review of goodness-of-fit tests for regression models, The Bickel-Rosenblatt test for continuous time stochastic volatility models, Fourier inference for stochastic volatility models with heavy-tailed innovations, The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Degenerate \(U\)- and \(V\)-statistics under weak dependence: asymptotic theory and bootstrap consistency
- Goodness-of-fit tests based on empirical characteristic functions
- Consistency of general bootstrap methods for degenerate \(U\)-type and \(V\)-type statistics
- A consistent test for multivariate normality based on the empirical characteristic function
- Limit theorems for discretely observed stochastic volatility models
- Goodness-of-fit tests for a multivariate distribution by the empirical characteristic function
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- On a test for a parametric form of volatility in continuous time financial models
- New dependence coefficients. Examples and applications to statistics
- Diffusion-type models with given marginal distribution and autocorrelation function
- Martingale estimation functions for discretely observed diffusion processes
- Parameter estimation for discretely observed stochastic volatility models
- A selective overview of nonparametric methods in financial econometrics
- A test for model specification of diffusion processes
- A Theory of the Term Structure of Interest Rates
- ON THE GOODNESS OF FIT TEST FOR DISCRETELY OBSERVED SAMPLE FROM DIFFUSION PROCESSES: DIVERGENCE MEASURE APPROACH
- Note on an Approximation to the Distribution of Non-Central χ 2
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- A goodness-of-fit test of simple hypotheses based on the empirical characteristic function
- Ten Lectures on Wavelets
- Nonparametric Pricing of Interest Rate Derivative Securities
- Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Test for dispersion constancy in stochastic differential equation models
- Measure Theory and Probability Theory
- Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, I. Effect of Inequality of Variance in the One-Way Classification
- A test for normality based on the empirical characteristic function
- Stochastic volatility models as hidden Markov models and statistical applications
