Empirical‐process‐based specification tests for diffusion models
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Cites work
- A martingale approach for testing diffusion models based on infinitesimal operator
- A nonparametric specification test for the volatility functions of diffusion processes
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A test for model specification of diffusion processes
- A theory of the term structure of interest rates
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- An equilibrium characterization of the term structure
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Conditional variance model checking
- Efficiency of the empirical distribution for ergodic diffusion
- Estimation for diffusion processes from discrete observation
- Estimation of an Ergodic Diffusion from Discrete Observations
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Goodness of fit test for ergodic diffusion processes
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- Goodness of fit test for small diffusions by discrete time observations
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3287297 (Why is no real title available?)
- Joint and marginal specification tests for conditional mean and variance models
- LAN property for ergodic diffusions with discrete observations
- Martingale Approach in the Theory of Goodness-of-Fit Tests
- Martingale transforms goodness-of-fit tests in regression models.
- Model checking in partial linear regression models with Berkson measurement errors
- Model checks for regression: an innovation process approach
- Nonparametric model checks for regression
- Nonparametric model checks for time series
- Nonparametric transition-based tests for jump diffusions
- On a test for a parametric form of volatility in continuous time financial models
- On the approximate maximum likelihood estimation for diffusion processes
- On the goodness-of-fit testing for ergodic diffusion processes
- Parameter estimation and bias correction for diffusion processes
- Parameter Estimation for a Discretely Observed Integrated Diffusion Process
- Simultaneous specification testing of mean and variance structures in nonlinear time series regression
- Specification testing in discretized diffusion models: theory and practice
- Stationarity-based specification tests for diffusions when the process is nonstationary
- Testing semiparametric conditional moment restrictions using conditional martingale transforms
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Testing the parametric specification of the diffusion function in a diffusion process
- The pricing of options and corporate liabilities
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