Variation-based tests for volatility misspecification
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Publication:898596
DOI10.1016/j.jeconom.2015.10.008zbMath1390.62164OpenAlexW3125095454MaRDI QIDQ898596
Alex Papanicolaou, Kay Giesecke
Publication date: 18 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.10.008
Nonparametric hypothesis testing (62G10) Stochastic models in economics (91B70) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)
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