TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS

DOI10.1017/S0266466607070107zbMath1237.62102OpenAlexW1979147072MaRDI QIDQ2886941

Fuchun Li

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070107

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Markov processes: hypothesis testing (62M02)

Related Items (14)

Specification testing in discretized diffusion models: theory and practice ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Jump‐robust testing of volatility functions in continuous time models ⋮ UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH ⋮ A test for a parametric form of the volatility in second-order diffusion models ⋮ Goodness-of-fit test for interest rate models: an approach based on empirical processes ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach ⋮ CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION ⋮ A martingale approach for testing diffusion models based on infinitesimal operator ⋮ Generalized spectral testing for multivariate continuous-time models ⋮ Semi-nonparametric estimation and misspecification testing of diffusion models ⋮ A nonparametric specification test for the volatility functions of diffusion processes

Cites Work

• Bootstrap conditional distribution tests in the presence of dynamic misspecification
• A consistent bootstrap test for conditional density functions with time-series data
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Consistent model specification tests for time series econometric models
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• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Nonparametric Pricing of Interest Rate Derivative Securities
• Specification Tests for the Variance of a Diffusion
• An equilibrium characterization of the term structure
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities

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