Test for dispersion constancy in stochastic differential equation models
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Publication:5414508
DOI10.1002/asmb.908OpenAlexW2103924019WikidataQ115406450 ScholiaQ115406450MaRDI QIDQ5414508
Publication date: 6 May 2014
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.908
Jarque-Bera teststochastic differential equation modelsBlack-Scholes modelsLjung-Box testconstancy test for volatility
Statistics (62-XX) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (3)
Optimal restricted quadratic estimator of integrated volatility ⋮ Goodness-of-fit test for stochastic volatility models ⋮ The Bickel-Rosenblatt test for continuous time stochastic volatility models
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