Goodness-of-fit test for stochastic volatility models
نویسندگان
چکیده
منابع مشابه
Goodness-of-fit test for stochastic volatility models
In this paper, we propose a goodness of fit test for continuous time stochastic volatility models based on discretely sampled observations. The proposed test is constructed by measuring deviations between the empirical and true characteristic functions obtained from the hypothesized stochastic volatility model. In this study, both the test statistics based on the fixed and decreasing sampling s...
متن کاملStochastic Volatility: Approximation and Goodness-of-fit Test
Let X be the unique solution started from x0 of the stochastic differential equation dXt = θ(t, Xt)dBt + b(t, Xt)dt with B a standard Brownian motion. We consider an approximation of the volatility θ(t, Xt), the drift being considered as a nuisance parameter. The approximation is based on a discrete time observation of X and we study its rate of convergence as a process. A goodness-of-fit test ...
متن کاملA goodness-of-fit test for structural nested mean models
Coarse structural nested mean models are tools to estimate treatment effects from longitudinal observational data with time-dependent confounding. There is, however, no guidance on how to specify the treatment effect model, and model misspecification can lead to bias. We derive a goodness-of-fit test based on modified overidentification restrictions tests for evaluating a treatment effect model...
متن کاملNonparametric Goodness-of-fit Test for Heteroscedastic Regression Models
For the heteroscedastic nonparametric regression model Yni = m(xni)+σ(xni)2ni, i = 1, ..., n, a novel method is proposed for testing that the regression function m is constant. The test statistic is motivated by recent developments in the asymptotic theory for analysis of variance when the number of factor levels is large. Its asymptotic normality is derived under the null hypothesis and suitab...
متن کاملA Goodness of Fit Test For Exponentiality Based on Lin-Wong Information
In this paper, we introduce a goodness of fit test for expo- nentiality based on Lin-Wong divergence measure. In order to estimate the divergence, we use a method similar to Vasicek’s method for estimat- ing the Shannon entropy. The critical values and the powers of the test are computed by Monte Carlo simulation. It is shown that the proposed test are competitive with other tests of exponentia...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2013
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2013.01.006