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Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144

Persistent link: https://www.econbiz.de/10011326801

Efficient fully distribution-free center-outward rank tests for multiple-output regression and MANOVA

Hallin, Marc; Hlubinka, Daniel; Hudecova, Sarka - 2021

Persistent link: https://www.econbiz.de/10012596675

Robust nonparametric tests for the two-sample location problem

Fried, Roland; Dehling, Herold - In: Statistical Methods and Applications 20 (2011) 4, pp. 409-422

Persistent link: https://www.econbiz.de/10009390800

Precedence-type tests based on record values

Balakrishnan, N.; Dembińska, Anna; Stepanov, Alexei - In: Metrika 68 (2008) 2, pp. 233-255

Persistent link: https://www.econbiz.de/10005178956

Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of Econometrics 184 (2015) 1, pp. 124-144

This paper develops two tests for parametric volatility function of a diffusion model based on Khmaladze (1981)’s martingale transformation. The tests impose no restrictions on the functional form of the drift function and are shown to be asymptotically distribution-free. The tests are...

Persistent link: https://www.econbiz.de/10011077605