Goodness-of-fit test for stochastic volatility models Based on noisy observations

DOI10.5705/ss.202015.0215zbMath1359.62458OpenAlexW2470365979MaRDI QIDQ5739481

Liang-Ching Lin, Sangyeol Lee, Mei-Hui Guo

Publication date: 15 July 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202015.0215

zbMATH Keywords

bootstrap methoddata analysisempirical characteristic functionhigh frequency datagoodness of fitstochastic volatility modelmicrostructure noise

Mathematics Subject Classification ID

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