Specification Tests for the Variance of a Diffusion

DOI10.1111/1467-9892.00136zbMath0932.62095OpenAlexW2079707690MaRDI QIDQ4939809

Valentina Corradi, Halbert White

Publication date: 1 March 2000

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00136

zbMATH Keywords

diffusionheteroscedasticityasymptotic significance levelnonparametric variance estimation

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric estimation (62G05) Economic time series analysis (91B84) Markov processes: hypothesis testing (62M02)

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