A. López-Pérez, D. Diz-Castro, M. Febrero-Bande, W. González-Manteiga
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引用次数: 0
Abstract
Diffusion models play an essential role in modelling continuous-time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations. We provide a survey to collect some developments on goodness-of-fit tests for diffusion models and implement some of these methods to illustrate their finite sample behaviour, regarding size and power, by means of a simulation study. We also apply the ideas of distance covariance to propose a test for the parametric specification of diffusion models, comparing its performance with the other methods and analyzing the effect of the curse of dimensionality. As real data examples, treasury securities with different maturities are considered.
期刊介绍：
International Statistical Review is the flagship journal of the International Statistical Institute (ISI) and of its family of Associations. It publishes papers of broad and general interest in statistics and probability. The term Review is to be interpreted broadly. The types of papers that are suitable for publication include (but are not limited to) the following: reviews/surveys of significant developments in theory, methodology, statistical computing and graphics, statistical education, and application areas; tutorials on important topics; expository papers on emerging areas of research or application; papers describing new developments and/or challenges in relevant areas; papers addressing foundational issues; papers on the history of statistics and probability; white papers on topics of importance to the profession or society; and historical assessment of seminal papers in the field and their impact.
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