A martingale approach for testing diffusion models based on infinitesimal operator
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Publication:737898
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Cites work
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- scientific article; zbMATH DE number 3215021 (Why is no real title available?)
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- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A Tale of Two Time Scales
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- A test for model specification of diffusion processes
- A theory of the term structure of interest rates
- ARCH models as diffusion approximations
- An equilibrium characterization of the term structure
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- Bootstrap specification tests for diffusion processes
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Closed-form likelihood expansions for multivariate diffusions
- Diffusion processes with continuous coefficients, I
- Estimating equations based on eigenfunctions for a discretely observed diffusion process
- Estimation of affine asset pricing models using the empirical characteristic function
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
- Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Modeling and Forecasting Realized Volatility
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- Nonparametric Pricing of Interest Rate Derivative Securities
- Nonparametric transition-based tests for jump diffusions
- On a Method of Calculation of Semi-Invariants
- On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
- On the theory of optimal control. Sufficient coordinates
- Power Variation and Time Change
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Specification Tests for the Variance of a Diffusion
- Spectral methods for identifying scalar diffusions
- Stochastic Comparison of Tests
- Testing the parametric specification of the diffusion function in a diffusion process
- Weak approximation of SDEs by discrete-time processes
Cited in
(10)- Empirical‐process‐based specification tests for diffusion models
- Nonparametric hypothesis of drift function in locally stationary diffusion models
- Characteristic function of the order statistics of the Student's \(t\) distribution
- Asymptotically distribution-free tests for the volatility function of a diffusion
- An updated review of goodness-of-fit tests for regression models
- A test for diffusion model based on multi-dimensional tail condition expectations
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- Specification tests for univariate diffusions
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