Stochastic volatility: approximation and goodness-of-fit test

zbMATH Open1133.62065MaRDI QIDQ5454091FDOQ5454091

Authors: Mihai Gradinaru, Ivan Nourdin 

Publication date: 3 April 2008

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zbMATH Keywords

discrete time observations

Mathematics Subject Classification ID

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

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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