Nonparametric model validations for hidden Markov models with applications in financial econometrics

DOI10.1016/j.jeconom.2011.01.002zbMath1441.62915OpenAlexW2104350570WikidataQ41864963 ScholiaQ41864963MaRDI QIDQ737900

Zhibiao Zhao

Publication date: 12 August 2016

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

Full work available at URL: http://europepmc.org/articles/pmc3132196

zbMATH Keywords

stochastic volatilityhidden Markov modeltransition densitynonlinear time seriesdiffusion modelmodel validationmarket microstructure noiseconfidence envelope

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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