A nonparametric specification test for the volatility functions of diffusion processes
Qiang Chen, Meidi Hu, and Xiaojun Song
| Year of publication: |
2019
|
|---|---|
| Authors: | Chen, Qiang ; Hu, Meidi ; Song, Xiaojun |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 38.2019, 5, p. 557-576
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| Subject: | Bootstrap | diffusion processes | Monte Carlo simulation | nonparametric estimation | parametric volatility function | specification test | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Bootstrap-Verfahren | Bootstrap approach | Statistischer Test | Statistical test | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2017.1365428 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181335