Testing the parametric form of the volatility in continuous time diffusion models-a stochastic process approach

Journal of Econometrics

Volumn 143, Issue 1, 2008, Pages 56-73

  Dette, Holger ^a   Podolskij, Mark ^a  

^a RUHR UNIVERSITY BOCHUM   (Germany)

Author keywords

Bootstrap; Heteroscedasticity; Integrated volatility; Specification tests; Stable convergence

Indexed keywords

ASYMPTOTIC ANALYSIS; CONVERGENCE OF NUMERICAL METHODS; GAUSSIAN DISTRIBUTION; RANDOM PROCESSES;

BOOTSTRAP; HETEROSCEDASTICITY; INTEGRATED VOLATILITY; SPECIFICATION TESTS; STABLE CONVERGENCE;

SPECIFICATIONS;

EID: 38149012328     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.08.002     Document Type: Article

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