کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097270 | 1376579 | 2008 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing the parametric form of the volatility in continuous time diffusion models-a stochastic process approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We present new tests for the form of the volatility function which are based on stochastic processes of the integrated volatility. We prove weak convergence of these processes to centered processes whose conditional distributions are Gaussian. In the case of testing for a constant volatility the limiting process are standard Brownian bridges. As a consequence an asymptotic distribution free test and bootstrap tests (for testing of a general parametric form) can easily be implemented. It is demonstrated that the new tests are more than the currently available procedures. The new approach is also demonstrated by means of a simulation study.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 143, Issue 1, March 2008, Pages 56-73
Journal: Journal of Econometrics - Volume 143, Issue 1, March 2008, Pages 56-73
نویسندگان
Holger Dette, Mark Podolskij,