A test for a parametric form of the volatility in second-order diffusion models
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Fan J. & Zhang C., 2003. "A Reexamination of Diffusion Estimators With Applications to Financial Model Validation," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 118-134, January.
- Gao, Jiti & Casas, Isabel, 2008.
"Specification testing in discretized diffusion models: Theory and practice,"
Journal of Econometrics,
Elsevier, vol. 147(1), pages 131-140, November.
- Gao, Jiti & Casas, Isabel, 2006. "Specification testing in discretized diffusion models: Theory and practice," MPRA Paper 11980, University Library of Munich, Germany, revised Aug 2007.
- 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: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
- Jianqing Fan & Jiancheng Jiang, 2007. "Rejoinder on: Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(3), pages 471-478, December.
- Pedro Delicado & Juan Romo, 1999.
"Goodness of Fit Tests in Random Coefficient Regression Models,"
Annals of the Institute of Statistical Mathematics,
Springer;The Institute of Statistical Mathematics, vol. 51(1), pages 125-148, March.
- Romo, Juan & Delicado, Pedro, 1994. "Goodness of fit tests in random coefficient regression models," DES - Working Papers. Statistics and Econometrics. WS 3962, Universidad Carlos III de Madrid. Departamento de Estadística.
- Nicolau, João, 2008. "Modeling financial time series through second-order stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2700-2704, November.
- Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
- Fan, Jianqing & Jiang, Jiancheng, 2005. "Nonparametric Inferences for Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 890-907, September.
- Jianqing Fan & Jiancheng Jiang, 2007. "Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(3), pages 409-444, December.
- 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.
- Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Nicolau, JoÃ£o, 2007. "Nonparametric Estimation Of Second-Order Stochastic Differential Equations," Econometric Theory, Cambridge University Press, vol. 23(5), pages 880-898, October.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
- Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
- Li, Fuchun, 2007.
"Testing The Parametric Specification Of The Diffusion Function In A Diffusion Process,"
Cambridge University Press, vol. 23(2), pages 221-250, April.
- Fuchun Li, 2005. "Testing the Parametric Specification of the Diffusion Function in a Diffusion Process," Staff Working Papers 05-35, Bank of Canada.
- 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.
- 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.
- Ahn, Dong-Hyun & Gao, Bin, 1999. "A Parametric Nonlinear Model of Term Structure Dynamics," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 721-762.
More about this item
KeywordsSecond-order diffusion models; Generalized likelihood ratio test; Local-linear fitting; Bootstrap;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:compst:v:32:y:2017:i:4:d:10.1007_s00180-016-0685-z. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Springer Nature Abstracting and Indexing). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.