论文标题
具有随机波动率的扩散模型的估计和规范测试
Estimation and Specification Test for Diffusion Models with Stochastic Volatility
论文作者
论文摘要
鉴于连续时间随机波动率模型对于描述利率的动力学的重要性，我们提出了基于残差的明显经验过程，对漂移和扩散函数的参数形式进行了拟合优度测试。测试统计数据是使用经验过程中连续功能（Kolmogorov-Smirnov和Cramér-Von Mises）构建的。为了评估所提出的测试，我们实施了一项模拟研究，其中考虑了用于校准测试的方法。事实证明，由于基于离散抽样数据的随机波动率的扩散模型的估计很困难，因此我们通过蒙特卡洛研究来解决此问题，以解决不同的估计程序。最后，提供了将程序应用于真实数据。
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical process of the residuals. The test statistics are constructed using a continuous functional (Kolmogorov-Smirnov and Cramér-von Mises) over the empirical processes. In order to evaluate the proposed tests, we implement a simulation study, where a bootstrap method is considered for the calibration of the tests. As the estimation of diffusion models with stochastic volatility based on discretely sampled data has proven difficult, we address this issue by means of a Monte Carlo study for different estimation procedures. Finally, an application of the procedures to real data is provided.
