Estimation of Integrated Volatility in Continuous Time Financial Models with Applications to Goodness-of-Fit Testing
Loading...
Date
2004
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Universitätsbibliothek Dortmund
Abstract
Description
Table of contents
Keywords
continuous time financial model, model diagnostics, diffusion process, heteroscedasticity, pseudo residuals, parametric bootstrap, estimation of integrated volatility, delta-method