Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
Year of publication: |
2004
|
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Authors: | Vetter, Mathias ; Podolskij, Mark ; Dette, Holger |
Institutions: | Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund |
Subject: | continuous time financial model | model diagnostics | diffusion process | heteroscedasticity | pseudo residuals | parametric bootstrap |
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