Bootstrap specification tests for diffusion processes.

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...

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Bibliographic Details

Published in:	Journal of Econometrics Vol. 124; no. 1; pp. 117 - 149
Main Authors:	Corradi, Valentina, Swanson, Norman R.
Format:	Article
Published:	Elsevier Science January 2005
Subjects:	Statistical bootstrapping Diffusion processes
Online Access:	View this record in EBSCOhost