Asymptotically distribution-free tests for the volatility function of a diffusion
作者： Qiang Chen , Xu Zheng , Zhiyuan Pan
DOI: 10.1016/J.JECONOM.2014.06.020
关键词: Mathematics 、 Parametric statistics 、 Martingale (probability theory) 、 Forward volatility 、 Applied mathematics 、 Monte Carlo method 、 Econometrics 、 SABR volatility model 、 Volatility (finance) 、 Stochastic volatility 、 Implied volatility
摘要: Abstract This paper develops two tests for parametric volatility function of a diffusion model based on Khmaladze (1981)’s martingale transformation. The impose no restrictions the functional form drift and are shown to be asymptotically distribution-free. consistent against large class fixed alternatives have nontrivial power root- n local alternatives. also extends testing joint specifications volatility. Monte Carlo simulations show that perform well in finite samples. proposed then applied models short-term interest, using data Treasury bill rate Eurodollar deposit rate. empirical results commonly used CKLS Chan et al. (1992) fits poorly none interest considered fit well.
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