Model checks for the volatility under microstructure noise

DOI10.3150/11-BEJ384zbMath1329.62416arXiv1211.5507MaRDI QIDQ1932237

Mathias Vetter, Dette, Holger

Publication date: 17 January 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.5507

zbMATH Keywords

heteroscedasticitygoodness-of-fit teststable convergenceparametric bootstrapmicrostructure noise

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Markov processes: hypothesis testing (62M02)

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Uses Software

• nlmdl

Cites Work

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