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

DOI10.1016/j.matcom.2003.07.001zbMath1031.62064OpenAlexW2113516383MaRDI QIDQ1418613

D. Massart

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

BootstrapLegendre polynomialsContinuous-time processes

Mathematics Subject Classification ID

Related Items (1)

Falsifying ARCH/GARCH Models Using Bispectral Based Tests

Cites Work

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• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• A better way to bootstrap pairs.
• A Theory of the Term Structure of Interest Rates

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