Asymptotically distribution-free tests for the volatility function of a diffusion
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Publication:473355
DOI10.1016/j.jeconom.2014.06.020zbMath1331.62246OpenAlexW1985358001MaRDI QIDQ473355
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.06.020
Monte Carlo simulationsdiffusion modeldistribution-free testsmartingale transformationinterest rate volatilityvolatility function
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)
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