Arbeitspapier
Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach
In this paper we present two new tests for the parametric form of the variance function in difusion processes dXt = b(t;Xt)+ó(t;Xt)dWt: Our approach is based on two stochastic processes of the integrated volatility. We prove weak convergence of these processes to centered processes whose conditional distributions given the process (Xt)t2[0;1] are Gaussian. In the special case of testing for a constant volatility the limiting process is the standard Brownian bridge in both cases. As a consequence an asymptotic distribution free test (for the problem of testing for homoscedasticity) and bootstrap tests (for the problem of testing for a general parametric form) can easily be implemented. It is demonstrated that the new tests are more powerful with respect to Pitman alternatives than the currently available procedures for this problem. The asymptotic advantages of the new approach are also observed for realistic sample sizes in a simulation study, where the finite sample properties of a Kolmogorov-Smirnov test are investigated.
- Language
-
Englisch
- Bibliographic citation
-
Series: Technical Report ; No. 2005,50
- Subject
-
Specification tests
integrated volatility
bootstrap
heteroscedasticity
stable convergence
Brownian Bridge
- Event
-
Geistige Schöpfung
- (who)
-
Dette, Holger
Podolskij, Mark
- Event
-
Veröffentlichung
- (who)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
-
Dortmund
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dette, Holger
- Podolskij, Mark
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2005
Other Objects (12)
On a test for constant volatility in continuous time financial models
new test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A test for the parametric form of the variance function in apartial linear regression model
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
Nonparametric change-point inference for the jump behaviour of time-continuous processes
On robust and efficient designs for risk estimation in epidemiologic studies
Canonical moments, orthogonal polynomials with application to statistics
Strong approximation of eigenvalues of large dimensional Wishart matrices by roots of generalized Laguerre polynomials
The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities
A martingale-transform goodness-of-fit test for the form of the conditional variance
On a test for constant volatility in continuous time financial models
new test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A test for the parametric form of the variance function in apartial linear regression model
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
Nonparametric change-point inference for the jump behaviour of time-continuous processes
On robust and efficient designs for risk estimation in epidemiologic studies
Canonical moments, orthogonal polynomials with application to statistics
Strong approximation of eigenvalues of large dimensional Wishart matrices by roots of generalized Laguerre polynomials
The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities
A martingale-transform goodness-of-fit test for the form of the conditional variance
On a test for constant volatility in continuous time financial models
new test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A simple test for the parametric form of the variance function in nonparametric regression
A test for the parametric form of the variance function in apartial linear regression model
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
Nonparametric change-point inference for the jump behaviour of time-continuous processes
On robust and efficient designs for risk estimation in epidemiologic studies
Canonical moments, orthogonal polynomials with application to statistics
Strong approximation of eigenvalues of large dimensional Wishart matrices by roots of generalized Laguerre polynomials
The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities