Testing the parametric form of the volatility in continuous time diffusion models—a stochastic process approach.

We present new tests for the form of the volatility function which are based on stochastic processes of the integrated volatility. We prove weak convergence of these processes to centered processes whose conditional distributions are Gaussian. In the case of testing for a constant volatility the lim...

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Detalles Bibliográficos

Publicado en:	Journal of Econometrics Vol. 143; no. 1; pp. 56 - 74
Autores principales:	Dette, Holger, Podolskij, Mark
Formato:	Artículo
Publicado:	Elsevier Science March 2008
Materias:	Statistical hypothesis testing Market volatility Stochastic processes Statistical bootstrapping
Acceso en línea:	Ver este registro en EBSCOhost