Empirical‐process‐based specification tests for diffusion models-Reference-Cited by-同舟云学术

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Empirical‐process‐based specification tests for diffusion models

Published:2022-11-16 Issue: Volume: Page:
ISSN:0319-5724
Container-title:Canadian Journal of Statistics
language:en
Short-container-title:Can J Statistics

Author:

Chen Qiang¹²^ORCID,Gong Yuting³,Wang Xunxiao⁴

Affiliation:

1. Department of Digital Economy (Digital Economy Research Institute) Shanghai University of Finance and Economics Shanghai China

2. School of Economics Shanghai University of Finance and Economics Shanghai China

3. SILC Business School Shanghai University Shanghai China

4. School of Statistics and Management Shanghai University of Finance and Economics Shanghai China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/cjs.11745

Reference53 articles.

1. Testing Continuous-Time Models of the Spot Interest Rate

2. Nonparametric Transition-Based Tests for Jump Diffusions

3. Stationarity-based specification tests for diffusions when the process is nonstationary

4. Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score

5. Testing Parametric Conditional Distributions of Dynamic Models

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