Asymptotically distribution-free tests for the volatility function of a diffusion

DOI10.1016/j.jeconom.2014.06.020zbMath1331.62246MaRDI QIDQ473355

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

zbMATH Keywords

Monte Carlo simulations; diffusion model; distribution-free tests; martingale transformation; interest rate volatility; volatility function

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

60J60: Diffusion processes

62M02: Markov processes: hypothesis testing