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~person:"Lin, Liang-Ching"
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Search: subject:"Stochastic volatility models"
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Goodness-of-fit
2
Stochastic volatility models
2
Bickel–Rosenblatt test
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Bootstrap
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Empirical characteristic function
1
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Lin, Liang-Ching
Alòs, Elisa
5
Li, Yong
5
Ysusi, Carla
5
Arai, Takuji
4
Kilin, Fiodar
4
Chernov, Mikhail
3
Figueroa-López, José E.
3
Ghysels, Eric
3
Kuchynka, Alexandr
3
Kwok, Yue-Kuen
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Lagunas-Merino, Marc
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León, Jorge A.
3
Meddahi, Nour
3
Vives, Josep
3
Yu, Jun
3
Balaji, B.
2
Baldeaux, Jan
2
Baños, David
2
Bertschinger, Nils
2
Bianchi, Michele Leonardo
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Date, Paresh
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Durai, S. Raja Sethu
2
Escobar, Marcos
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Ewald, Christian-Oliver
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Ewald, Christian-Olivier
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Fabozzi, Frank J.
2
Fatone, Lorella
2
Gallant, A. Ronald
2
Guo, Meihui
2
Huang, Jing-Zhi
2
Ignatieva, Ekaterina
2
Islyaev, Suren
2
Jacquier, Antoine
2
Karoglou, Michail
2
Lai, Yongzeng
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Lee, Sangyeol
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Mahieu, Ronald
2
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Journal of Multivariate Analysis
1
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research
1
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RePEc
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The Bickel–Rosenblatt test for continuous time
stochastic
volatility
models
Lin, Liang-Ching
;
Lee, Sangyeol
;
Guo, Meihui
- In:
TEST: An Official Journal of the Spanish Society of …
23
(
2014
)
1
,
pp. 195-218
In this paper, we consider the Bickel–Rosenblatt test for continuous time
stochastic
volatility
models
. The test is …
Persistent link: https://www.econbiz.de/10010994261
Saved in:
2
Goodness-of-fit test for
stochastic
volatility
models
Lin, Liang-Ching
;
Lee, Sangyeol
;
Guo, Meihui
- In:
Journal of Multivariate Analysis
116
(
2013
)
C
,
pp. 473-498
In this paper, we propose a goodness of fit test for continuous time
stochastic
volatility
models
based on discretely …
Persistent link: https://www.econbiz.de/10010665717
Saved in:
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