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Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
Vetter, Mathias; Podolskij, Mark; Dette, Holger - 2004
Properties of a specification test for the parametric form of the variance function in diffusion processes dXt = b (t,Xt) dt + sigma (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function. If the volatility function does not depend on the...
Persistent link: https://www.econbiz.de/10010296615
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Testing equality of spectral densities
Dette, Holger; Paroditis, Efstathios - 2007
Persistent link: https://www.econbiz.de/10010298209
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Goodness-of-fit tests for multiplicativemodels with dependent data
Dette, Holger; Pardo-Fernandez, Juan Carlos; van … - 2007
Persistent link: https://www.econbiz.de/10010298215
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Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
Dette, Holger (contributor); Podolskij, Mark (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002142062
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On a test for constant volatility in continuous time financial models
Dette, Holger; Lieres und Wilkau, Carsten von - 2001
Persistent link: https://www.econbiz.de/10009779498
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Testing semiparametric hypotheses in locally stationary processes
Preuß, Philip; Vetter, Mathias; Dette, Holger - 2011
Persistent link: https://www.econbiz.de/10009153837
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Testing equality of spectral densities
Dette, Holger (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003581892
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Goodness-of-fit tests for multiplicativemodels with dependent data
Dette, Holger (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003581921