The Bickel-Rosenblatt test for continuous time stochastic volatility models

DOI10.1007/S11749-013-0347-1MaRDI QIDQ464450zbMATH OpenOpenAlexFDO

Authors Liang-Ching Lin, Sangyeol Lee, Meihui Guo

Publication date 17 October 2014

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11749-013-0347-1

zbMATH Keywords

goodness-of-fitstochastic volatility modelsBickel-Rosenblatt test

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(2)

• The Bickel--Rosenblatt test for diffusion processes
• Goodness-of-fit test for stochastic volatility models

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