Goodness-of-fit test for interest rate models: an approach based on empirical processes

DOI10.1016/J.CSDA.2011.06.004zbMath1262.91154OpenAlexW2132255978MaRDI QIDQ1942884

Wenceslao González Manteiga, Manuel Febrero-Bande, Abelardo Monsalve-Cobis

Publication date: 14 March 2013

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.004

zbMATH Keywords

diffusion processesempirical processresidualsintegrated conditional variance functionintegrated regression function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (7)

An updated review of goodness-of-fit tests for regression models ⋮ Jump‐robust testing of volatility functions in continuous time models ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Goodness–of–Fit Test for Stochastic Volatility Models ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ A nonparametric specification test for the volatility functions of diffusion processes

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