.png){kind=icon}
返回
Bootstrap specification tests for diffusion processes
.png){kind=icon}
OA
AI
DOI：10.1016/j.jeconom.2004.02.013.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
This paper discusses specification tests for diffusion processes. In the one-dimensional case, our proposed test is closest to the nonparametric test of Ait-Sahalia (Rev. Financ. Stud. 9 (1996) 385). However, we compare CDFs instead of densities. In the multidimensional and/or multifactor case, our proposed test is based on comparison of the empirical CDF of actual data and the empirical CDF of simulated data. Asymptotically valid critical values are obtained using an empirical process version of the block bootstrap which accounts for parameter estimation error. An example based on a simple version of the Cox et al. (Econometrica 53 (1985) 385) model is outlined and related Monte Carlo experiments are carried out. (C) 2003 Elsevier B.V. All rights reserved.
Keyword:
block bootstrap
diffusion process
multifactor model
parameter estimation error
specification test
Stochastic volatility
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4
论文数:
5.2K
被引数:
3.0W
机构
暂无机构信息
引用论文
Maximum likelihood estimation of discretely sampled diffusions:: A closed-form approximation approach离散采样扩散的最大似然估计:: 一种封闭形式的近似方法.png)
ECONOMETRICA
ECONOMETRICAIF7.1
PREAI
分享收藏分享收藏
查看更多内容