A nonparametric specification test for the volatility functions of diffusion processes

DOI10.1080/07474938.2017.1365428zbMath1491.62079OpenAlexW2744472898MaRDI QIDQ5860932

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Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2017.1365428

zbMATH Keywords

bootstrapMonte Carlo simulationdiffusion processesnonparametric estimationspecification testparametric volatility function

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)

Related Items (3)

Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ Jump‐robust testing of volatility functions in continuous time models ⋮ Empirical‐process‐based specification tests for diffusion models

Cites Work

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