Goodness-of-fit test for stochastic volatility models
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Publication:391575
DOI10.1016/j.jmva.2013.01.006zbMath1277.62125OpenAlexW1981499397MaRDI 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
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Related Items (6)
Optimal restricted quadratic estimator of integrated volatility ⋮ Rejoinder on: ``An updated review of goodness-of-fit tests for regression models ⋮ Goodness–of–Fit Test for Stochastic Volatility 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
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