Asymptotically distribution-free tests for the volatility function of a diffusion
type: Item
instance of: scholarly article
title: Asymptotically distribution-free tests for the volatility function of a diffusion
zbMATH Open document ID: 1331.62246
author: J. Herrera
author: Sumit K. Garg
published in: Journal of Econometrics
publication date: 2014-11-24T00:00:00Z
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 62M02
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6372130
zbMATH Keywords: distribution-free tests
zbMATH Keywords: volatility function
zbMATH Keywords: diffusion model
zbMATH Keywords: martingale transformation
zbMATH Keywords: Monte Carlo simulations
zbMATH Keywords: interest rate volatility
MaRDI profile type: MaRDI publication profile
full work available at URL: j.jeconom.2014.06.020
OpenAlex ID: W1985358001
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DOI: 10.1016/J.JECONOM.2014.06.020
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description: scientific article; zbMATH DE number 6372130