Asymptotically distribution-free tests for the volatility function of a diffusion
Qiang Chen; Xu Zheng; Zhiyuan Pan
| Year of publication: |
2015
|
|---|---|
| Authors: | Chen, Qiang ; Zheng, Xu ; Pan, Zhiyuan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 184.2015, 1, p. 124-144
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| Subject: | Distribution-free tests | Volatility function | Diffusion model | Martingale transformation | Monte Carlo simulations | Interest rate volatility | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Martingal | Martingale |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011326801