A martingale approach for testing diffusion models based on infinitesimal operator
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Publication:737898
DOI10.1016/j.jeconom.2010.12.005zbMath1441.62873MaRDI QIDQ737898
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.12.005
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M02: Markov processes: hypothesis testing
Related Items
Unnamed Item, Specification tests for univariate diffusions, NONPARAMETRIC HYPOTHESIS OF DRIFT FUNCTION IN LOCALLY STATIONARY DIFFUSION MODELS, Empirical‐process‐based specification tests for diffusion models, An updated review of goodness-of-fit tests for regression models, Asymptotically distribution-free tests for the volatility function of a diffusion, 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
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