Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
随机波动率模型中可能非正则假设的精确与渐近检验
We study the problem of testing hypotheses on the parameters of one- and two-factor stochastic volatility models (SV), allowing for the possible presence of non-regularities such as singular moment conditions and unidentified parameters, which can lead to non-standard asymptotic distributions. We focus on the development of simulation-based exact procedures-whose level can be controlled in finite samples-as well as on large-sample procedures which remain valid under…