Generalized spectral testing for multivariate continuous-time models
DOI10.1016/j.jeconom.2011.06.001zbMath1441.62635OpenAlexW1966803443MaRDI QIDQ738028
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.06.001
Lévy processesconditional characteristic functionaffine jump-diffusion modeldiscrete-time distribution modelgeneralized cross-spectrummodel specification testmultivariate continuous-time model
Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Markov processes: hypothesis testing (62M02)
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