Estimation and Specification Test for Diffusion Models with Stochastic Volatility
随机波动率扩散模型的估计与设定检验
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical process of the residuals. The test statistics are constructed using a continuous functional (Kolmogorov-Smirnov and Cramér-von Mises) over the empirical processes. In order to evaluate the proposed tests, we implement a simulation study,…