Asymptotically distribution-free tests for the volatility function of a diffusion
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Publication:473355
DOI10.1016/J.JECONOM.2014.06.020zbMATH Open1331.62246OpenAlexW1985358001MaRDI QIDQ473355FDOQ473355
Authors: J. Herrera, Sumit K. Garg 
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.06.020
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distribution-free testsdiffusion modelmartingale transformationMonte Carlo simulationsinterest rate volatilityvolatility function
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)
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Cited In (19)
- Specification tests for univariate diffusions
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- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
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- A test for a parametric form of the volatility in second-order diffusion models
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