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 sampled observations. The proposed test is constructed by measuring deviations between the empirical and true characteristic functions obtained from the hypothesized stochastic...