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...

A characteristic function-based method is proposed to estimate the time-changed Lévy models, which take into account both stochastic volatility and infinite-activity jumps. The method facilitates computation and overcomes problems related to the discretization error and to the non-tractable...

In this paper we investigate the properties of some common test for asymmetry. The tests are based on moments, order statistics and empirical characteristic functions (ecf) respectively. These tests have completely different origins, relies on different characterizations of symmetry and does...