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

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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...

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Bibliographic Details
Main Authors:	Zu, Yang, Boswijk, Peter
Format:	Article
Published:	Elsevier 2017
Subjects:	Nonparametric test; Stochastic volatility models
Online Access:	https://eprints.nottingham.ac.uk/39534/

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