In this short article the following inequality called the “Pitman inequality” is proved for the exchangeable random vector (X1,X2,…,Xn) without the assumption of continuity and symmetry for each component Xi:P(|1n∑i=1nXi|≤|∑i=1nαiXi|)≥12   , where allαi≥0 are special...

In this paper, we propose a goodness of fit test for continuous time stochastic volatility models based on discretely sampled observations. The proposed test is constructed by measuring deviations between the empirical and true characteristic functions obtained from the hypothesized stochastic...