Test for dispersion constancy in stochastic differential equation models

DOI10.1002/asmb.908OpenAlexW2103924019WikidataQ115406450 ScholiaQ115406450MaRDI QIDQ5414508

Sangyeol Lee, Mei-Hui Guo

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

zbMATH Keywords

Jarque-Bera teststochastic differential equation modelsBlack-Scholes modelsLjung-Box testconstancy test for volatility

Mathematics Subject Classification ID

Statistics (62-XX) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

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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