Variation-based tests for volatility misspecification
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Publication:898596
DOI10.1016/J.JECONOM.2015.10.008zbMATH Open1390.62164OpenAlexW3125095454MaRDI QIDQ898596FDOQ898596
Alex Papanicolaou, Kay Giesecke
Publication date: 18 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.10.008
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Nonparametric hypothesis testing (62G10) Markov processes: hypothesis testing (62M02) Diffusion processes (60J60) Stochastic models in economics (91B70)
Cites Work
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- Volatility estimators for discretely sampled Lévy processes
- Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
- Bootstrap specification tests for diffusion processes
- Estimation of an Ergodic Diffusion from Discrete Observations
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- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A test for model specification of diffusion processes
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- On a test for a parametric form of volatility in continuous time financial models
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Nonparametric Transition-Based Tests for Jump Diffusions
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Divergences test statistics for discretely observed diffusion processes
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
- Convergence of some random functionals of discretized semimartingales
Cited In (6)
- Testing the volatility jumps based on the high frequency data
- Consistent estimation of drift parameter in diffusion model with misspecified volatility function
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- A test for the rank of the volatility process: the random perturbation approach
- A nonparametric specification test for the volatility functions of diffusion processes
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
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