๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Testing for nonlinearity in mean and volatility for heteroskedastic models

โœ Scribed by Cathy W.S. Chen; Richard H. Gerlach; Amanda P.J. Tai

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
154 KB
Volume
79
Category
Article
ISSN
0378-4754

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Testing for jumps in the stochastic vola
Testing for jumps in the stochastic volatility models
โœ Masahito Kobayashi ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 255 KB

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the innovation term follows the normal and Student t-distributions. The tested null hypothesis is that the jump density has zero variance, which is expressed

Fitting and testing for the implied vola
Fitting and testing for the implied volatility curve using parametric models
โœ Chuang-Chang Chang; Pin-Huang Chou; Tzu-Hsiang Liao ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 170 KB

## Abstract Numerous issues have arisen over the past few decades relating to the implied volatility smile in the options market; however, the extant literature reveals that relatively little effort has thus far been placed into comparing the various implied volatility models, essentially as a resu