Testing the parametric form of the volatility in continuous time diffusion models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10103369" target="_blank" >RIV/00216208:11320/11:10103369 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Testing the parametric form of the volatility in continuous time diffusion models
Original language description
This work presents tests for the parametric form of the volatility function in diffusion processes. We consider two types of hypothesis --- the hypothesis of constant volatility and general form of volatility. Proposed tests are numerically illustrated and compared with respect to numerical problems.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
WDS'11 Proceedings of Contributed Papers: Part I - Mathematics and Computer Sciences
ISBN
978-80-7378-184-2
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
13-18
Publisher name
MatfyzPress
Place of publication
Praha
Event location
Praha
Event date
May 31, 2011
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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