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Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach

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  • Dette, Holger
  • Podolskij, Mark

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  • Dette, Holger & Podolskij, Mark, 2008. "Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach," Journal of Econometrics, Elsevier, vol. 143(1), pages 56-73, March.
  • Handle: RePEc:eee:econom:v:143:y:2008:i:1:p:56-73
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    1. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    2. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
    3. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    4. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
    5. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
    6. Dette, Holger & Podolskij, Mark, 2005. "Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach," Technical Reports 2005,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    7. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    8. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    10. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1980. " An Analysis of Variable Rate Loan Contracts," Journal of Finance, American Finance Association, vol. 35(2), pages 389-403, May.
    11. Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-552.
    12. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
    13. Courtadon, Georges, 1982. "The Pricing of Options on Default-Free Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 75-100, March.
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    Citations

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    Cited by:

    1. Manuel Frondel & Peter Behl & Holger Dette & Harald Tauchmann, 2011. "Choice is Suffering: A Focused Information Criterion for Model Selection Activation Program for Disadvantaged Youths," Ruhr Economic Papers 0250, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    2. Behl, Peter & Dette, Holger & Frondel, Manuel & Tauchmann, Harald, 2011. "Choice is Suffering: A Focused Information Criterion for Model Selection Activation Program for Disadvantaged Youths," Ruhr Economic Papers 250, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Christensen, K. & Podolskij, M. & Thamrongrat, N. & Veliyev, B., 2017. "Inference from high-frequency data: A subsampling approach," Journal of Econometrics, Elsevier, vol. 197(2), pages 245-272.
    4. Mark Podolskij & Daniel Ziggel, 2007. "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers 2007-26, Department of Economics and Business Economics, Aarhus University.
    5. Papanicolaou, Alex & Giesecke, Kay, 2016. "Variation-based tests for volatility misspecification," Journal of Econometrics, Elsevier, vol. 191(1), pages 217-230.
    6. repec:zbw:rwirep:0264 is not listed on IDEAS
    7. Peter Behl & Holger Dette & Manuel Frondel & Harald Tauchmann, 2011. "Being Focused: When the Purpose of Inference Matters for Model Selection," Ruhr Economic Papers 0264, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    8. 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.
    9. Behl, Peter & Dette, Holger & Frondel, Manuel & Vance, Colin, 2018. "A focused information criterion for quantile regression: Evidence for the rebound effect," Ruhr Economic Papers 766, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    10. Behl, Peter & Dette, Holger & Frondel, Manuel & Tauchmann, Harald, 2013. "Energy substitution: When model selection depends on the focus," Energy Economics, Elsevier, vol. 39(C), pages 233-238.
    11. Behl, Peter & Dette, Holger & Frondel, Manuel & Tauchmann, Harald, 2011. "Being Focused: When the Purpose of Inference Matters for Model Selection," Ruhr Economic Papers 264, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    12. repec:spr:compst:v:32:y:2017:i:4:d:10.1007_s00180-016-0685-z is not listed on IDEAS
    13. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    14. Behl, Peter & Dette, Holger & Frondel, Manuel & Tauchmann, Harald, 2012. "Choice is suffering: A Focused Information Criterion for model selection," Economic Modelling, Elsevier, vol. 29(3), pages 817-822.
    15. repec:zbw:rwirep:0250 is not listed on IDEAS
    16. Adam D. Bull, 2015. "Semimartingale detection and goodness-of-fit tests," Papers 1506.00088, arXiv.org, revised Jun 2016.
    17. Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2016. "Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach," CREATES Research Papers 2016-27, Department of Economics and Business Economics, Aarhus University.

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