Vetter, Mathias; Podolskij, Mark; Dette, Holger - Institut für Wirtschafts- und Sozialstatistik, … - 2004
Properties of a specification test for the parametric form of the variance function in diffusion processes dXt = b (t,Xt) dt + sigma (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function. If the volatility function does not depend on the...
