Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach
Year of publication: |
2005
|
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Authors: | Dette, Holger ; Podolskij, Mark |
Institutions: | Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund |
Subject: | Specification tests | integrated volatility | bootstrap | heteroscedasticity | stable convergence | Brownian Bridge |
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