We develop an omnibus specification test for multivariate continuous-time models using the conditional characteristic function, which often has a convenient closed-form or can be accurately approximated for many multivariate continuous-time models in finance and economics. The proposed test...

Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer–von Mises (GCM) specification tests for time series conditional distribution models using a novel approach, which embeds the empirical...

We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form or can be approximated accurately for many popular continuous-time Markov models in economics...