The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing-Reference-Cited by-同舟云学术

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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Published:2019-10 Issue:2 Volume:212 Page:556-583
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Christensen Kim,Thyrsgaard Martin,Veliyev Bezirgen

Funder

Danish Council for Independent Research

Danish National Research Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference73 articles.

1. Testing continuous-time models of the spot interest rate;Aït-Sahalia;Rev. Financ. Stud.,1996

2. High-frequency Financial Econometrics;Aït-Sahalia,2014

3. Testing for jumps in noisy high frequency data;Aït-Sahalia;J. Econometrics,2012

4. Maximum likelihood estimation of stochastic volatility models;Aït-Sahalia;J. Financ. Econ.,2007

5. Increased correlation among asset classes: are volatility or jumps to blame, or both?;Aït-Sahalia;J. Econometrics,2015

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