Specification testing in discretized diffusion models: theory and practice
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power functionnonparametric testingkernel methodcontinuous-time diffusion processsize functiontime series econometrics
Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A consistent test of functional form via nonparametric estimation techniques
- A simple consistent bootstrap test for a parametric regression function
- A test for model specification of diffusion processes
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
- An adaptive empirical likelihood test for parametric time series regression models
- Bias reduction in nonparametric diffusion coefficient estimation
- Bootstrap specification tests for diffusion processes
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- Consistent model specification tests for time series econometric models
- Consistent model specification tests. (Kernel-based tests versus Bierens' ICM tests)
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Nonlinear Time Series
- Nonparametric Pricing of Interest Rate Derivative Securities
- On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
- Some higher-order theory for a consistent non-parametric model specification test
- Specification Tests for the Variance of a Diffusion
- Testing the parametric specification of the diffusion function in a diffusion process
- The bootstrap and Edgeworth expansion
Cited in
(24)- Bootstrap specification tests for diffusion processes
- Sizes of two bootstrap-based nonparametric specification tests for the drift function in continuous time models
- Specification tests for univariate diffusions
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Nonparametric transition-based tests for jump diffusions
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Test for dispersion constancy in stochastic differential equation models
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Generalized spectral testing for multivariate continuous-time models
- Empirical‐process‐based specification tests for diffusion models
- GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS
- Testing for the presence of jump components in jump diffusion models
- Nonparametric Methods in Continuous Time Model Specification
- A consistent model specification test with mixed discrete and continuous data
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
- A test for model specification of diffusion processes
- Nonparametric tests of the Markov hypothesis in continuous-time models
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Multidimensional specification test based on non-stationary time series
- A test for a parametric form of the volatility in second-order diffusion models
- An updated review of goodness-of-fit tests for regression models
- Testing the parametric specification of the diffusion function in a diffusion process
- A specification test of stochastic diffusion models
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