Goodness-of-fit test for interest rate models: An approach based on empirical processes
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- Chen, Qiang & Zheng, Xu & Pan, Zhiyuan, 2015. "Asymptotically distribution-free tests for the volatility function of a diffusion," Journal of Econometrics, Elsevier, vol. 184(1), pages 124-144.
More about this item
KeywordsIntegrated regression function Integrated conditional variance function Diffusion processes Empirical process Residuals;
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