Goodness-of-fit test for stochastic volatility models

DOI10.1007/978-3-319-50986-0_6MaRDI QIDQ4609014zbMATH OpenOpenAlexFDO

Authors J. P. Zubelli, Abelardo Monsalve-Cobis, Wenceslao González-Manteiga, Manuel Febrero-Bande

Publication date 29 March 2018

Published in From Statistics to Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-50986-0_6

zbMATH Keywords

goodness-of-fit teststochastic volatility models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Goodness-of-fit test for interest rate models: an approach based on empirical processes
• Goodness-of-fit test for stochastic volatility models
• Multivariate Stochastic Variance Models
• Nonparametric model checks for regression
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• Parameter estimation for discretely observed stochastic volatility models
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• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The pricing of options and corporate liabilities
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Cited in

(14)

• Testing for EGARCH Against Stochastic Volatility Models
• Goodness-of-fit test for the SVM based on noisy observations
• Goodness-of-fit test for interest rate models: an approach based on empirical processes
• Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
• Goodness-of-fit test for stochastic volatility models
• A visual goodness-of-fit test for econometrical models
• The Bickel-Rosenblatt test for continuous time stochastic volatility models
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
• Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
• Testing the local volatility assumption: a statistical approach
• Goodness of fit assessment for a fractal model of stock markets
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing

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Uses Software

• astsa

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