Goodness-of-fit test for stochastic volatility models

Wenceslao González-Manteiga, Jorge Passamani Zubelli, Abelardo Monsalve-Cobis, Manuel Febrero-Bande

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

1 Scopus citations

Abstract

A goodness-of-fit test based on empirical processes is proposed as a model diagnostic check method for continuous time stochastic volatility models. More specifically, as the volatility is not observable, a marked empirical process is constructed from the representation in a state space model form associated to the discretized version of the underlying process. Distributions of these processes are approximated using bootstrap techniques. Some simulation results and an empirical application to an EURIBOR (Euro Interbank Offered Rate) data set are presented for illustration.

Original languageBritish English
Title of host publicationFrom Statistics to Mathematical Finance
Subtitle of host publicationFestschrift in Honour of Winfried Stute
Pages89-104
Number of pages16
ISBN (Electronic)9783319509860
DOIs
StatePublished - 1 Jan 2017

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