Bootstrap specification tests for diffusion processes

Journal of Econometrics

Volumn 124, Issue 1, 2005, Pages 117-148

  Corradi, Valentina ^a   Swanson, Norman R ^b  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Block bootstrap; Diffusion process; Multifactor model; Parameter estimation error; Specification test; Stochastic volatility

Indexed keywords

ASYMPTOTIC STABILITY; DIFFUSION; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS; PROBABILITY DISTRIBUTIONS;

BLOCK BOOTSTRAP; DIFFUSION PROCESS; MULTIFACTOR MODEL; SPECIFICATION TESTS; STOCHASTIC VOLATILITY;

PARAMETER ESTIMATION;

EID: 9544252970     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.02.013     Document Type: Article

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