Testing the local volatility assumption: a statistical approach
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- Mark Podolskij & Mathieu Rosenbaum, 2012. "Testing the local volatility assumption: a statistical approach," Annals of Finance, Springer, vol. 8(1), pages 31-48, February.
References listed on IDEAS
- Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004.
"A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales,"
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- Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark, 2004. "A central limit theorem for realised power and bipower variations of continuous semimartingales," Technical Reports 2004,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," Economics Papers 2004-W29, Economics Group, Nuffield College, University of Oxford.
- Kinnebrock, Silja & Podolskij, Mark, 2008.
"A note on the central limit theorem for bipower variation of general functions,"
Stochastic Processes and their Applications,
Elsevier, vol. 118(6), pages 1056-1070, June.
- Silja Kinnebrock & Mark Podolskij, 2007. "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series 2007fe03, Oxford Financial Research Centre.
- Kristensen, Dennis, 2010.
"Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach,"
Cambridge University Press, vol. 26(01), pages 60-93, February.
- Dennis Kristensen, 2007. "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers 2007-02, Department of Economics and Business Economics, Aarhus University.
- Holger Dette & Mark Podolskij & Mathias Vetter, 2006.
"Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing,"
Scandinavian Journal of Statistics,
Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 259-278.
- Vetter, Mathias & Podolskij, Mark & Dette, Holger, 2004. "Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing," Technical Reports 2004,32, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jean Jacod & Mark Podolskij, 2012. "A Test for the Rank of the Volatility Process: The Random Perturbation Approach," Global COE Hi-Stat Discussion Paper Series gd12-268, Institute of Economic Research, Hitotsubashi University.
- Jean Jacod & Mark Podolskij, 2012. "A test for the rank of the volatility process: the random perturbation approach," CREATES Research Papers 2012-57, Department of Economics and Business Economics, Aarhus University.
More about this item
KeywordsLocal Volatility Models; Stochastic Volatility Models; Test Statistics; Semi-Martingales; Limit Theorems.;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: 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-2011-01-30 (All new papers)
- NEP-ECM-2011-01-30 (Econometrics)
- NEP-ETS-2011-01-30 (Econometric Time Series)
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