Bootstrap Specification Tests for Diffusion Processes
Year of publication: |
2003
|
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Authors: | Corradi, Valentina ; Swanson, Norman R. |
Publisher: |
New Brunswick, NJ : Rutgers University, Department of Economics |
Subject: | Bootstrap-Verfahren | Statistische Verteilung | Nichtparametrisches Verfahren | Theorie | block bootstrap | diffusion processes | multifactor model | parameter estimation error | specification test | stochastic volatility |
Series: | Working Paper ; 2003-21 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 375476679 [GVK] hdl:10419/23177 [Handle] RePEc:rut:rutres:200321 [RePEc] |
Classification: | C22 - Time-Series Models ; C12 - Hypothesis Testing |
Source: |
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Bootstrap Specification Tests for Diffusion Processes
Corradi, Valentina, (2003)
-
Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
Corradi, Valentina, (2003)
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Corradi, Valentina, (2011)
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Consistent pretesting for jumps
Corradi, Valentina, (2014)
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Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
Corradi, Valentina, (2003)
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Swanson, Norman R., (2003)
- More ...