Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Year of publication: |
2011-03-05
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Authors: | Corradi, Valentina ; Swanson, Norman R. |
Institutions: | HAL |
Subject: | Block bootstrap | Diffusion processes | Jumps | Nonparametric simulated quasi maximum likelihood | Parameter estimation error | Recursive estimation | Stochastic volatility |
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Corradi, Valentina, (2011)
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Corradi, Valentina, (2011)
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Swanson, Norman R., (2011)
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