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点过程的滤波似然AI 解读

Point processes are widely used in finance and economics to model the timing of defaults, market transactions, unemployment spells, births, and a range of other events. We develop and analyze likelihood estimators for the parameters of a marked point process and incompletely observed explanatory factors that influence the arrival intensity and mark distribution. We establish an approximation to the likelihood and analyze the convergence and large-sample properties of the…

基于幂变差的波动率模型误设检验AI 解读

We provide a simple and easy to use goodness-of-fit test for the misspecification of the volatility function in diffusion models. The test uses power variations constructed as functionals of discretely observed diffusion processes. We introduce an orthogonality condition which stabilizes the limit law in the presence of parameter estimation and avoids the necessity for a bootstrap procedure that reduces performance and leads to complications associated with the structure of…