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Testing the parametric specification of the diffusion function in a diffusion process
Li, Fuchun - In: Econometric theory 23 (2007) 2, pp. 221-250
Persistent link: https://www.econbiz.de/10003429710
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Testing the parametric specification of the diffusion function in a diffusion process
Li, Fuchun - 2005
Persistent link: https://www.econbiz.de/10003205504
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Testing for the diffusion matrix in a continuous-time Markov process model with applications to the term structure of interest rates
Li, Fuchun - 2015
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal...
Persistent link: https://www.econbiz.de/10010531070
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Dynamic correlations and spillover effects between CoCo bonds and other financial assets : evidence from European banking
Li, Fangfang; Li, Ping - In: Finance research letters 38 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012487925
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Forecasting crude oil price volatility via a HM-EGARCH model
Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012512591
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Testing for the diffusion matrix in a continuous-time markov process model with applications to the term structure of interest rates
Li, Fuchun - In: Journal of financial econometrics 19 (2021) 5, pp. 789-822
Persistent link: https://www.econbiz.de/10012799048