Nonparametric specification testing for continuous-time models with application to spot interest rates

By Yongmiao Hong, Haitao Li. 2002

69 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3949c00ccc73e54dd6d8bf743bf16166527dc773

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Citations in the corpus

Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles (2018, methodology): “We apply the proposed out-of-sample test for GCD in accordance with Hong and Li (2005) with the null hypothesis that Xt does not Granger cause Yt in distribution: H0: c(u, v) = 1, where c(u, v) is the conditional copula density function, with u and v as the conditional probability integral transform”
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions (2005, background): “Hong and Li (2003) discuss speci cation tests for both the drift and the di¤usion function of a stationary di¤usion process relying on the informational content of the process transition density.”
Copula goodness-of-fit testing: an overview and power comparison (2009, background): “Hong and Li (2005) report Monte Carlo evidence of multivariate tests using transformed variables outperforming tests using the original random variables.”
SV mixture models with application to S&P 500 index returns ☆ (2007, unknown): “Papers include Bontemps and Meddahi (2005), Duan (2003), Bai (2003), Hong and Li (2002), and Diebold, Gunther, and Tay (1998).”
A Test for model specification of diffusion processes (2007, methodology): “In an important development after Aït-Sahalia [1], Hong and Li [32] developed a test for diffusion processes via a conditional probability integral transformation.”
Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (2004, methodology): “As in Fan (1994) and Hong and Li (2002), we can now base our test on bIn = Z 1 0 . . .”
Bias in the estimation of the mean reversion parameter in continuous time models (2012, background): “E-mail address: yujun@smu.edu.sg. include Chan et al. (1992), Aït-Sahalia (1996a,b), Dai and Singleton (2000), and Hong and Li (2005).”
ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS (2004, methodology): “For example, Hong and Li (2004) use the parameter values estimated from the U.”