Specification Tests for the Variance of a Diffusion
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DOI10.1111/1467-9892.00136zbMATH Open0932.62095OpenAlexW2079707690MaRDI QIDQ4939809FDOQ4939809
Authors: 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
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Cited In (27)
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- A test for comparing two discrete stochastic dynamical systems under heteroskedasticity
- Specification tests for univariate diffusions
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- A simple approach to the parametric estimation of potentially nonstationary diffusions
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
- Model checks for the volatility under microstructure noise
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Specification testing in discretized diffusion models: theory and practice
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Testing heteroscedasticity in nonlinear and nonparametric regressions
- Variation-based tests for volatility misspecification
- On a test for a parametric form of volatility in continuous time financial models
- A nonparametric specification test for the volatility functions of diffusion processes
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Testing diffusion processes for non-stationarity
- A martingale approach for testing diffusion models based on infinitesimal operator
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- A test for a parametric form of the volatility in second-order diffusion models
- An updated review of goodness-of-fit tests for regression models
- Testing the parametric specification of the diffusion function in a diffusion process
- Nonparametric hypothesis of drift function in locally stationary diffusion models
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
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