The Bickel-Rosenblatt test for continuous time stochastic volatility models

Liang Ching Lin, Sangyeol Lee, Meihui Guo

研究成果: Article同行評審

1 引文 斯高帕斯(Scopus)

摘要

In this paper, we consider the Bickel-Rosenblatt test for continuous time stochastic volatility models. The test is constructed based on discretely observed samples by measuring integrated squared deviations between the nonparametric kernel density estimate from the observations and a parametric fit of the density. It is shown that under the null, the proposed test is asymptotically normal. To evaluate the proposed test, a simulation study is performed for illustration.

原文English
頁(從 - 到)195-218
頁數24
期刊Test
23
發行號1
DOIs
出版狀態Published - 2014 三月

All Science Journal Classification (ASJC) codes

  • 統計與概率
  • 統計、概率和不確定性

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