A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
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- Mark Podolskij & Daniel Ziggel, 2008. "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers 2008-22, Department of Economics and Business Economics, Aarhus University.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Papanicolaou, Alex & Giesecke, Kay, 2016. "Variation-based tests for volatility misspecification," Journal of Econometrics, Elsevier, vol. 191(1), pages 217-230.
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More about this item
KeywordsBipower Variation; Central Limit Theorem; Diffusion Models; Goodness-Of- Fit Testing; High-Frequency Data; Integrated Volatility; Range-Based Bipower Variation; Semimartingale Theory;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-27 (All new papers)
- NEP-ETS-2008-06-27 (Econometric Time Series)
- NEP-FMK-2008-06-27 (Financial Markets)
- NEP-MST-2008-06-27 (Market Microstructure)
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