Testing the parametric form of the volatility in continuous time diffusion models - a stochastic process approach

摘要: We present new tests for the form of volatility function which are based on stochastic processes integrated volatility. prove weak convergence these to centered whose conditional distributions Gaussian. In case testing a constant limiting process standard Brownian bridges. As consequence an asymptotic distribution free test and bootstrap (for general parametric form) can easily be implemented. It is demonstrated that more than currently available procedures. The approach also by means simulation study.