Goodness-of-fit test for stochastic volatility models
DOI10.1007/978-3-319-50986-0_6zbMATH Open1383.62241OpenAlexW2766189125MaRDI QIDQ4609014FDOQ4609014
Abelardo Monsalve-Cobis, Manuel Febrero-Bande, Wenceslao González-Manteiga, J. P. Zubelli
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
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Cites Work
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- Goodness-of-fit test for stochastic volatility models
- Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- On a test for a parametric form of volatility in continuous time financial models
- 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
- Parameter estimation for discretely observed stochastic volatility models
Cited In (6)
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
- A visual goodness-of-fit test for econometrical models
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
- Goodness of fit assessment for a fractal model of stock markets
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
- Testing for EGARCH Against Stochastic Volatility Models
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