Stochastic volatility: approximation and goodness-of-fit test

MaRDI QIDQ5454091zbMATH OpenFDO

Authors Mihai Gradinaru, Ivan Nourdin

Publication date 3 April 2008

zbMATH Keywords

discrete time observations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Markov processes: hypothesis testing (62M02) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• Estimation of quadratic variation for two-parameter diffusions
• A test for the rank of the volatility process: the random perturbation approach

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