On a test for a parametric form of volatility in continuous time financial models

DOI10.1007/s007800200087zbMath1067.62087OpenAlexW2095155694MaRDI QIDQ1776002

Carsten von Lieres und Wilkau, Dette, Holger

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200087

zbMATH Keywords

diffusion processheteroscedasticitymodel diagnosticsparametric bootstrappseudo residuals

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Markov processes: hypothesis testing (62M02)

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