A test for a parametric form of the volatility in second-order diffusion models
From MaRDI portal
Publication:1695433
DOI10.1007/s00180-016-0685-zzbMath1417.62302OpenAlexW2522022257MaRDI QIDQ1695433
Publication date: 7 February 2018
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-016-0685-z
Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Interest rates, asset pricing, etc. (stochastic models) (91G30) Markov processes: hypothesis testing (62M02)
Related Items (2)
Variance reduction estimation for return models with jumps using gamma asymmetric kernels ⋮ Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Trending time-varying coefficient time series models with serially correlated errors
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Specification testing in discretized diffusion models: theory and practice
- Modeling financial time series through second-order stochastic differential equations
- Goodness of fit tests in random coefficient regression models
- Comparing nonparametric versus parametric regression fits
- Nonparametric smoothing and lack-of-fit tests
- Goodness-of-fit tests for semiparametric biased sampling models
- On a test for a parametric form of volatility in continuous time financial models
- Generalized likelihood ratio statistics and Wilks phenomenon
- Goodness-of-fit tests for the Cox model via bootstrap method
- NN goodness-of-fit tests for linear models
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- A Theory of the Term Structure of Interest Rates
- TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS
- NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS
- Local Linear Estimation of Second-Order Diffusion Models
- Bootstrap Approximations in Model Checks for Regression
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- Functional-Coefficient Regression Models for Nonlinear Time Series
- Specification Tests for the Variance of a Diffusion
- Testing heteroscedasticity in nonlinear and nonparametric regressions
- An equilibrium characterization of the term structure
- Nonparametric Inferences for Additive Models
This page was built for publication: A test for a parametric form of the volatility in second-order diffusion models
