Estimation of integrated volatility in continuous-time financial models with applications to goodness-of-fit testing

Scandinavian Journal of Statistics

Volumn 33, Issue 2, 2006, Pages 259-278

  Dette, Holger ^a   Podolskij, Mark ^a   Vetter, Mathias ^a  

^a RUHR UNIVERSITY BOCHUM   (Germany)

Author keywords

Continuous time financial model; Delta method; Diffusion process; Estimation of integrated volatility; Heteroscedasticity; Model diagnostics; Parametric bootstrap; Pseudo residuals

Indexed keywords

EID: 33745325875     PISSN: 03036898     EISSN: 14679469     Source Type: Journal    
DOI: 10.1111/j.1467-9469.2006.00479.x     Document Type: Article

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