Arbeitspapier
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
Properties of a specification test for the parametric form of the variance function in diffusion processes dXt = b (t,Xt) dt + sigma (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function. If the volatility function does not depend on the variable x it is known that the corresponding statistics have an asymptotic normal distribution. However, most models of mathematical finance use a volatility function which depends on the state x. In this paper we prove that in the general case, where sigma depends also on x the estimates of integrals of the volatility converge stably in law to random variables with a non-standard limit distribution. The limit distribution depends on the diffusion process Xt itself and we use this result to develop a bootstrap test for the parametric form of the volatility function, which is consistent in the general diffusion model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Report ; No. 2004,32
- Thema
-
continuous time financial model
model diagnostics
diffusion process
heteroscedasticity
pseudo residuals
parametric bootstrap
Zeitreihenanalyse
Volatilität
Finanzmarkt
Statistischer Test
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Vetter, Mathias
Podolskij, Mark
Dette, Holger
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (wo)
-
Dortmund
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Vetter, Mathias
- Podolskij, Mark
- Dette, Holger
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Entstanden
- 2004
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