Using discrete-time techniques to test continuous-time models for nonlinearity in drift

DOI10.1016/J.MATCOM.2003.07.001MaRDI QIDQ1418613zbMATH OpenOpenAlexFDO

Authors D. Massart, Ralf Becker, Stan Hurn

Publication date 14 January 2004

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2003.07.001

zbMATH Keywords

BootstrapContinuous-time processesLegendre polynomials

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

• A better way to bootstrap pairs.
• A theory of the term structure of interest rates
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests

Cited in

(2)

• Falsifying ARCH/GARCH Models Using Bispectral Based Tests
• On detecting and modeling deterministic drift in long run sequences of tapping data

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