A martingale approach for testing diffusion models based on infinitesimal operator

DOI10.1016/J.JECONOM.2010.12.005zbMATH Open1441.62873OpenAlexW2076196370MaRDI QIDQ737898FDOQ737898

Authors: Zhaogang Song 

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

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zbMATH Keywords

diffusionmartingale problemMarkovsemi-groupinfinitesimal operator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (10)

• Specification tests for univariate diffusions
• A test for diffusion model based on multi-dimensional tail condition expectations
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
• Empirical‐process‐based specification tests for diffusion models
• Characteristic function of the order statistics of the Student's \(t\) distribution
• Goodness-of-Fit Test in Multivariate Jump Diffusion Models
• Asymptotically distribution-free tests for the volatility function of a diffusion
• An updated review of goodness-of-fit tests for regression models
• Nonparametric hypothesis of drift function in locally stationary diffusion models
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach

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