Generalized spectral testing for multivariate continuous-time models
DOI10.1016/J.JECONOM.2011.06.001zbMATH Open1441.62635OpenAlexW1966803443MaRDI QIDQ738028FDOQ738028
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.2011.06.001
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[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]conditional characteristic functionaffine jump-diffusion modeldiscrete-time distribution modelgeneralized cross-spectrummodel specification testmultivariate continuous-time model
Processes with independent increments; Lévy processes (60G51) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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