Nonparametric specification tests for stochastic volatility models based on volatility density

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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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Bibliographic Details
Main Author:	Zu, Yang
Format:	Article
Published:	Elsevier 2015
Subjects:	Nonparametric tests Kernel deconvolution estimator Stochastic volatility model
Online Access:	https://eprints.nottingham.ac.uk/45843/

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