The new approach, allowed to take into account some additional information, coming from datas, is proposed. The main idea is to obtain from datas some information about structure of the model in order to improve accuracy of estimation. It seems to be important, since standard nonparametric...

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...