Generalized spectral testing for multivariate continuous-time models

DOI10.1016/J.JECONOM.2011.06.001zbMATH Open1441.62635OpenAlexW1966803443MaRDI QIDQ738028FDOQ738028

Authors: Bin Chen, Yongmiao Hong 

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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zbMATH Keywords

[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

Mathematics Subject Classification ID

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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Cited In (3)

• A robust test for serial correlation in panel data models
• Model risk in the over-the-counter market
• Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression

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