Nonparametric model validations for hidden Markov models with applications in financial econometrics
DOI10.1016/J.JECONOM.2011.01.002zbMATH Open1441.62915OpenAlexW2104350570WikidataQ41864963 ScholiaQ41864963MaRDI QIDQ737900FDOQ737900
Authors: Zhibiao Zhao 
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc3132196
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nonlinear time seriesdiffusion modelhidden Markov modelstochastic volatilitytransition densitymarket microstructure noisemodel validationconfidence envelope
Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (5)
- Hidden Markov models for financial optimization problems
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- Specification test for Markov models with measurement errors
- A new nonlinearity test to circumvent the limitation of Volterra expansion with application
- State-domain change point detection for nonlinear time series regression
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