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...
| Publicado en: | Journal of Econometrics Vol. 124; no. 1; pp. 117 - 149 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
January 2005
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |