This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed test is closest to the non parametric test introduced by Ait-Sahalia (1996), in the sense that both procedures determine whether the drift and variance components of a...

In risk management areas such as reinsurance, the need often arises to construct a confidence interval for a quantile in the tail of the distribution; for example, there is high probability that the sample maximum lies near or below the quantile. While different methods, including subsample...