Specification testing in discretized diffusion models: Theory and practice
نویسندگان
چکیده
منابع مشابه
Specification testing in discretized diffusion models: Theory and practice
We propose two new tests for the specification of both the drift and the diffusion functions in a discretized version of a semiparametric continuous–time financial econometric model. Theoretically, we establish some asymptotic consistency results for the proposed tests. Practically, a simple selection procedure for the bandwidth parameter involved in each of the proposed tests is established ba...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2008
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2008.09.006