Nonparametric Methods in Continuous Time Model Specification

DOI10.1080/07474930600972558zbMath1108.62077OpenAlexW2033485906MaRDI QIDQ3432679

Isabel Casas, J. T. Gao

Publication date: 18 April 2007

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

Full work available at URL: https://doi.org/10.1080/07474930600972558

zbMATH Keywords

specification testingfinancial econometricscontinuous-time modelnonparametric kernel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)

Cites Work

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• Some higher-order theory for a consistent non-parametric model specification test
• A Theory of the Term Structure of Interest Rates
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• ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
• Unnamed Item