کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097110 1376571 2008 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Specification testing in discretized diffusion models: Theory and practice
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Specification testing in discretized diffusion models: Theory and practice
چکیده انگلیسی
We propose two new tests for the specification of both the drift and the diffusion functions in a discretized version of a semiparametric continuous-time financial econometric model. Theoretically, we establish some asymptotic consistency results for the proposed tests. Practically, a simple selection procedure for the bandwidth parameter involved in each of the proposed tests is established based on the assessment of the power function of the test under study. To the best of our knowledge, this is the first approach of this kind in specification of continuous-time financial econometrics. The proposed theory is supported by good small and medium-sample studies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 147, Issue 1, November 2008, Pages 131-140
نویسندگان
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