Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
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 consis...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Published: |
Elsevier
2017
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/39534/ |
| _version_ | 1848795858866274304 |
|---|---|
| author | Zu, Yang Boswijk, Peter |
| author_facet | Zu, Yang Boswijk, Peter |
| author_sort | Zu, Yang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T19:38:46Z |
| format | Article |
| id | nottingham-39534 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:38:46Z |
| publishDate | 2017 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-395342020-05-04T18:32:57Z https://eprints.nottingham.ac.uk/39534/ Consistent nonparametric specification tests for stochastic volatility models based on the return distribution Zu, Yang Boswijk, Peter 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. Elsevier 2017-03-01 Article PeerReviewed 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 Nonparametric test; Stochastic volatility models http://www.sciencedirect.com/science/article/pii/S092753981630161X doi:10.1016/j.jempfin.2016.12.005 doi:10.1016/j.jempfin.2016.12.005 |
| spellingShingle | Nonparametric test; Stochastic volatility models Zu, Yang Boswijk, Peter Consistent nonparametric specification tests for stochastic volatility models based on the return distribution |
| title | Consistent nonparametric specification tests for stochastic volatility models based on the return distribution |
| title_full | Consistent nonparametric specification tests for stochastic volatility models based on the return distribution |
| title_fullStr | Consistent nonparametric specification tests for stochastic volatility models based on the return distribution |
| title_full_unstemmed | Consistent nonparametric specification tests for stochastic volatility models based on the return distribution |
| title_short | Consistent nonparametric specification tests for stochastic volatility models based on the return distribution |
| title_sort | consistent nonparametric specification tests for stochastic volatility models based on the return distribution |
| topic | Nonparametric test; Stochastic volatility models |
| url | https://eprints.nottingham.ac.uk/39534/ https://eprints.nottingham.ac.uk/39534/ https://eprints.nottingham.ac.uk/39534/ |