کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1146238 | 1489684 | 2013 | 26 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Goodness-of-fit test for stochastic volatility models Goodness-of-fit test for stochastic volatility models](/preview/png/1146238.png)
In this paper, we propose a goodness of fit test for continuous time stochastic volatility models based on discretely sampled observations. The proposed test is constructed by measuring deviations between the empirical and true characteristic functions obtained from the hypothesized stochastic volatility model. In this study, both the test statistics based on the fixed and decreasing sampling schemes are taken into consideration. It is shown that under the null, the proposed tests asymptotically follow a weighted sum of products of centered normal random variables. In order to evaluate the proposed tests, a simulation study is performed, in which a bootstrap method is also considered. Finally, a real data analysis is conducted for illustration.
Journal: Journal of Multivariate Analysis - Volume 116, April 2013, Pages 473–498