Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based …

replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility …

Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they … developed that exhibit standard parametric convergence rates. These two features have made semiparametric models and estimators … increasingly popular in applied economics. We give a partial overview over the literature on semiparametric modelling and …

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class …

We propose a nonparametric approach to the estimation and testing of structural change in time series regression models …. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and …

A nonparametric kernel estimator of the drift (diffusion) term in a diffusion model are developed given a preliminary … the nonparametric estimators are established. We develop mis- specification tests of parametric diffusion models based on … the nonparametric estimators, and derive the asymptotic properties of the tests. We also propose a Markov Bootstrap method …