Publication
A comparative study of several bootstrap-based tests for the volatility in continuous-time diffusion models
| dc.contributor.author | Tianshun, Yan | |
| dc.contributor.author | Liping, Zhang | |
| dc.date.accessioned | 2020-05-06T11:45:10Z | |
| dc.date.available | 2020-05-06T11:45:10Z | |
| dc.date.issued | 2020-01 | |
| dc.description.abstract | This article develops three bootstrap-based tests for a parametric form of volatil- ity function in continuous-time diffusion models. The three tests are the generalized likelihood ratio test by Fan et al. (Ann Stat 29(1):153–193, 2001), the nonparamet- ric kernel test (LWZ) by Li and Wang (J Econometrics 87(1):145–165, 1998) and Zheng (J Econ 75(2):263–289, 1996) and the nonparametric test (CHS) by Chen et al. (2017). Monte Carlo simulations are performed to evaluate the sizes and power properties of these bootstrap-based tests in finite samples over a range of bandwidth values. We find that the bootstrap-based tests are not influenced by prior restrictions on the functional form of the drift function and that the bootstrap-based CHS test has better power performance than the bootstrap-based GLR and LWZ tests in detect- ing a parametric form of volatility. An empirical study on weekly treasury bill rate is further conducted to demonstrate these bootstrap-based test procedures. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Tianshun, Yan e Zhang Liping (2020). "A comparative study of several bootstrap-based tests for the volatility in continuous-time diffusion models". Portuguese Economic Journal, 19(1):33-47 | pt_PT |
| dc.identifier.doi | 10.1007/s10258-019-00157-0 | pt_PT |
| dc.identifier.issn | 1617-982X (Print) | |
| dc.identifier.issn | 1617-9838 (Online) | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/20062 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | Springer | pt_PT |
| dc.relation.publisherversion | https://link.springer.com/journal/10258/19/1 | pt_PT |
| dc.subject | Continuous-time diffusion models | pt_PT |
| dc.subject | Generalized likelihood ratio test | pt_PT |
| dc.subject | Nonparametric kernel test | pt_PT |
| dc.subject | Bootstrap | pt_PT |
| dc.subject | Treasury bill rate | pt_PT |
| dc.title | A comparative study of several bootstrap-based tests for the volatility in continuous-time diffusion models | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Lisboa | pt_PT |
| oaire.citation.endPage | 47 | pt_PT |
| oaire.citation.issue | 1 | pt_PT |
| oaire.citation.startPage | 33 | pt_PT |
| oaire.citation.title | Portuguese Economic Journal | pt_PT |
| oaire.citation.volume | 19 | pt_PT |
| rcaap.rights | closedAccess | pt_PT |
| rcaap.type | article | pt_PT |