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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

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

Testing semiparametric hypotheses in locally stationary processes

Vetter, Mathias; Dette, Holger - 2011

Persistent link: https://www.econbiz.de/10009153837

Testing for heteroscedasticity in jumpy and noisy high-frequency data : a resampling approach

Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - 2016

Persistent link: https://www.econbiz.de/10011541690

Testing the parametric form of the volatility in continuous time diffusion models : a stochastic process approach

Dette, Holger; Podolskij, Mark - In: Journal of econometrics 143 (2008) 1, pp. 56-73

Persistent link: https://www.econbiz.de/10003722591

A test for the rank of the volatility process : the random perturbation approach

Jacod, Jean; Podolskij, Mark - 2012

Persistent link: https://www.econbiz.de/10009682608

A test for the rank of the volatility process : the random perturbation approach

Jacod, Jean; Podolskij, Mark - 2012

Persistent link: https://www.econbiz.de/10009785770

Testing the parametric form of the volatility in continuous time diffusion models : an empirical process approach

Dette, Holger (contributor); Podolskij, Mark (contributor) - 2005

Persistent link: https://www.econbiz.de/10003354240

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