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Test for dispersion constancy in stochastic differential equation models - MaRDI portal

Test for dispersion constancy in stochastic differential equation models (Q5414508)

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scientific article; zbMATH DE number 6292441
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English
Test for dispersion constancy in stochastic differential equation models
scientific article; zbMATH DE number 6292441

    Statements

    title
    Test for dispersion constancy in stochastic differential equation models (English)
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    author
    Sangyeol Lee
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    Mei-Hui Guo
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    publication date
    6 May 2014
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    zbMATH Keywords
    Black-Scholes models
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    constancy test for volatility
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    Jarque-Bera test
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    Ljung-Box test
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    stochastic differential equation models
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    Identifiers

    DOI
    10.1002/asmb.908
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    zbMATH DE Number
    6292441
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    OpenAlex ID
    W2103924019
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    Wikidata QID
    Q115406450
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