Testing the maximal rank of the volatility process for continuous diffusions observed with noise

DOI10.3150/16-BEJ836zbMath1388.62307arXiv1410.6698MaRDI QIDQ2405147

Mark Podolskij, Tobias Fissler

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.6698

zbMATH Keywords

mathematical financehigh frequency datarank testingtime varying stochastic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Stochastic integrals (60H05) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

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