A simulation-based specification test for diffusion processes

Journal of Business and Economic Statistics

Volumn 26, Issue 2, 2008, Pages 176-193

  Bhardwaj, Geetesh ^a   Corradi, Valentina ^b   Swanson, Norman R ^c  

^a Bates and White   (United States)

^b UNIVERSITY OF WARWICK   (United Kingdom)

^c RUTGERS UNIVERSITY   (United States)

Author keywords

Block bootstrap; Continuous time model; Finance; Parameter estimation error; Simulated GMM; Stochastic volatility

Indexed keywords

EID: 41649114997     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500107000000412     Document Type: Article

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