Variation-based tests for volatility misspecification
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Cites work
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 3227597 (Why is no real title available?)
- A Tale of Two Time Scales
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- Closed-form likelihood expansions for multivariate diffusions
- Convergence of some random functionals of discretized semimartingales
- Discretization of processes.
- Divergences test statistics for discretely observed diffusion processes
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimation for diffusion processes from discrete observation
- Estimation of an Ergodic Diffusion from Discrete Observations
- Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
- La variation d'ordre p des semi-martingales
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum Likelihood Estimation of Misspecified Models
- Nonparametric Pricing of Interest Rate Derivative Securities
- Nonparametric transition-based tests for jump diffusions
- On a test for a parametric form of volatility in continuous time financial models
- On estimating the diffusion coefficient from discrete observations
- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
- Quarticity and other functionals of volatility: efficient estimation
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Specification Tests for the Variance of a Diffusion
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Volatility estimators for discretely sampled Lévy processes
Cited in
(14)- Goodness-of-fit testing for fractional diffusions
- Testing the volatility jumps based on the high frequency data
- Semimartingale detection and goodness-of-fit tests
- Consistent estimation of drift parameter in diffusion model with misspecified volatility function
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- 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
- Goodness-of-fit test for stochastic volatility models
- 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
- Semi-nonparametric estimation and misspecification testing of diffusion models
- A test for a parametric form of the volatility in second-order diffusion models
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- A specification test of stochastic diffusion models
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