Distribution-free specification test for volatility function based on high-frequency data with microstructure noise

DOI10.1007/S00184-021-00857-8OpenAlexW4205769756MaRDI QIDQ2082567

Yanyan Li

Publication date: 4 October 2022

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-021-00857-8

zbMATH Keywords

diffusion processeshigh-frequency dataspecification testmicrostructure noisevolatility function

Mathematics Subject Classification ID

Statistics (62-XX)

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