Nonparametric specification tests for stochastic volatility models based on volatility density
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Publication:494406
DOI10.1016/j.jeconom.2015.02.045zbMath1337.62336OpenAlexW2142683096MaRDI QIDQ494406
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/8090/1/nonparametric.pdf
Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)
Related Items (3)
NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY ⋮ Distribution-free specification test for volatility function based on high-frequency data with microstructure noise ⋮ The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Uses Software
Cites Work
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