Consistent nonparametric specification tests for stochastic volatility models based on the return distribution

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Zu, Yang and Boswijk, Peter (2017) Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. Journal of Empirical Finance, 41 . pp. 53-75. ISSN 1879-1727

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Official URL: http://www.sciencedirect.com/science/article/pii/S092753981630161X

Abstract

This paper develops nonparametric specification tests for stochastic volatility models by comparing the nonparametically estimated return density and distribution functions with their parametric counterparts. Asymptotic null distributions of the tests are derived and the tests are shown to be consistent. Extensive Monte Carlo experiments are performed to study the finite sample properties of the tests. The proposed tests are applied in a number of empirical examples.

Item Type:	Article
RIS ID:	https://nottingham-repository.worktribe.com/output/843349
Keywords:	Nonparametric test; Stochastic volatility models
Schools/Departments:	University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Identification Number:	https://doi.org/10.1016/j.jempfin.2016.12.005
Depositing User:	Zu, Yang
Date Deposited:	04 Jan 2017 09:55
Last Modified:	04 May 2020 18:32
URI:	https://eprints.nottingham.ac.uk/id/eprint/39534

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