Semi-nonparametric estimation and misspecification testing of diffusion models
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Cites work
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 3505982 (Why is no real title available?)
- scientific article; zbMATH DE number 3226563 (Why is no real title available?)
- A Semiparametric Maximum Likelihood Estimator
- A consistent bootstrap test for conditional density functions with time-series data
- A quadratic measure of deviation of two-dimensional density estimates and a test of independence
- A simple approach to the parametric estimation of potentially nonstationary diffusions
- A test for model specification of diffusion processes
- Arbitrage Theory in Continuous Time
- Asymptotic comparison of Cramér-von Mises and nonparametric function estimation techniques for testing goodness-of-fit
- Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Bias reduction in nonparametric diffusion coefficient estimation
- Bootstrap Methods for Markov Processes
- Bootstrap specification tests for diffusion processes
- Bootstrapping a consistent nonparametric goodness-of-fit test
- Comparing nonparametric versus parametric regression fits
- Consistent Nonparametric Entropy-Based Testing
- End-of-Sample Instability Tests
- Estimation of partial differential equations with applications in finance
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Generalized likelihood ratio statistics and Wilks phenomenon
- Goodness of fit test for ergodic diffusion processes
- Invariance principles for absolutely regular empirical processes
- Local power properties of kernel based goodness of fit tests
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum Likelihood Estimation of Misspecified Models
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Nonlinear principal components and long-run implications of multivariate diffusions
- Nonlinearity and temporal dependence
- Nonparametric Pricing of Interest Rate Derivative Securities
- Nonparametric estimation of scalar diffusions based on low frequency data
- Nonparametric transition-based tests for jump diffusions
- On estimating the diffusion coefficient from discrete observations
- On some global measures of the deviations of density function estimates
- On the lack of power of omnibus specification tests
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Root-N-Consistent Semiparametric Regression
- Specification Tests for the Variance of a Diffusion
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- Testing Goodness-of-Fit Based on a Roughness Measure
- Testing the parametric specification of the diffusion function in a diffusion process
- Tests of specification for parametric and semiparametric models
- The functional central limit theorem for strongly mixing processes
- The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit
- Uniform convergence rates of kernel estimators with heterogeneous dependent data
Cited in
(17)- Specification tests for univariate diffusions
- Nonparametric transition-based tests for jump diffusions
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Testing a class of semi- or nonparametric conditional moment restriction models using series methods
- Diffusion copulas: identification and estimation
- Variation-based tests for volatility misspecification
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- Semiparametric diffusion estimation and application to a stock market index
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Nonparametric identification and estimation of transformation models
- Estimation for diffusion processes under misspecified models
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Nonparametric Methods in Continuous Time Model Specification
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Uniform and L_p convergences for nonparametric continuous time regressions with semiparametric applications
- An updated review of goodness-of-fit tests for regression models
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