Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

DOI10.1016/j.jeconom.2010.12.009zbMath1441.62655OpenAlexW2140178070MaRDI QIDQ530607

Valentina Corradi, Norman R. Swanson

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sas.rutgers.edu/virtual/snde/wp/2011-12.pdf

zbMATH Keywords

jumpsstochastic volatilitydiffusion processesblock bootstraprecursive estimationparameter estimation errornonparametric simulated quasi maximum likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (3)

Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ Testing for jumps and jump intensity path dependence ⋮ A statistical procedure for testing financial contagion

Cites Work

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• Estimation of affine asset pricing models using the empirical characteristic function

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