Nonparametric specification tests for stochastic volatility models based on volatility density

Zu, Yang (2015) Nonparametric specification tests for stochastic volatility models based on volatility density. Journal of Econometrics, 187 . pp. 323-344. ISSN 0304-4076

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Abstract

This paper develops a specification test for stochastic volatility models by comparing the nonparametric kernel deconvolution density estimator of an integrated volatility density with its parametric counterpart. L2 distance is used to measure the discrepancy. The asymptotic null distributions of the test statistics are established and the asymptotic power functions are computed. Through Monte Carlo simulations, the size and power properties of the test statistics are studied. The tests are applied to an empirical example.

Item Type: Article
Keywords: Nonparametric tests, Kernel deconvolution estimator, Stochastic volatility model
Schools/Departments: University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Identification Number: 10.1016/j.jeconom.2015.02.045
Depositing User: Zu, Yang
Date Deposited: 13 Sep 2017 10:42
Last Modified: 14 Oct 2017 16:24
URI: http://eprints.nottingham.ac.uk/id/eprint/45843

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