We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form or can be approximated accurately for many popular continuous-time Markov models in economics and...

Multivariate continuous-time models have been playing important roles in finance and economics. We develop an omnibus specification test for multivariate continuous-time models using the conditional characteristic function, which often has a convenient closed form or can be accurately...