Nonparametric specification tests for stochastic volatility models based on volatility density
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 th...
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| Format: | Article |
| Language: | English |
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Elsevier
2015
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| Online Access: | http://eprints.nottingham.ac.uk/45843/ http://eprints.nottingham.ac.uk/45843/ http://eprints.nottingham.ac.uk/45843/ http://eprints.nottingham.ac.uk/45843/1/svtestvol.pdf |