✦ LIBER ✦

On a test for a parametric form of volatility in continuous time financial models

✍ Scribed by Holger Dette; Carsten von Lieres und Wilkau

Book ID: 106235928
Publisher: Springer-Verlag
Year: 2003
Tongue: English
Weight: 257 KB
Volume: 7
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s007800200087

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

On Stability of Continuous Time Models o

On Stability of Continuous Time Models of a Financial Market

✍ S. A. Nagaev 📂 Article 📅 2002 🏛 Springer US 🌐 English ⚖ 117 KB

Rate of convergence for parametric estim

Rate of convergence for parametric estimation in a stochastic volatility model

✍ Marc Hoffmann 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 213 KB

On the short-time behavior of the implie

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

✍ Elisa Alòs; Jorge A. León; Josep Vives 📂 Article 📅 2007 🏛 Springer-Verlag 🌐 English ⚖ 449 KB

A simple test for the parametric form of

A simple test for the parametric form of the variance function in nonparametric regression

✍ Holger Dette; Benjamin Hetzler 📂 Article 📅 2008 🏛 Springer Japan 🌐 English ⚖ 302 KB

On consistent testing for serial correla

On consistent testing for serial correlation of unknown form in vector time series models

✍ Pierre Duchesne; Roch Roy 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 335 KB

Multivariate autoregressive models with exogenous variables (VARX) are often used in econometric applications. Many properties of the basic statistics for this class of models rely on the assumption of independent errors. Using results of Hong (Econometrica 64 (1996) 837), we propose a new test stat

A Score Type Test for General Autoregres

A Score Type Test for General Autoregressive Models in Time Series

✍ Jian-hong Wu; Li-xing Zhu 📂 Article 📅 2007 🏛 Institute of Applied Mathematics, Chinese Academy 🌐 English ⚖ 183 KB