Skip to main content

Research Repository

Advanced Search

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution

Zu, Yang; Boswijk, Peter

Authors

YANG ZU yang.zu@nottingham.ac.uk
Assistant Professor

Peter Boswijk h.p.boswijk@uva.nl



Abstract

This paper develops nonparametric specification tests for stochastic volatility models by comparing the nonparametically estimated return density and distribution functions with their parametric counterparts. Asymptotic null distributions of the tests are derived and the tests are shown to be consistent. Extensive Monte Carlo experiments are performed to study the finite sample properties of the tests. The proposed tests are applied in a number of empirical examples.

Journal Article Type Article
Publication Date Mar 1, 2017
Journal Journal of Empirical Finance
Print ISSN 0927-5398
Electronic ISSN 1879-1727
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 41
APA6 Citation Zu, Y., & Boswijk, P. (2017). Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. Journal of Empirical Finance, 41, https://doi.org/10.1016/j.jempfin.2016.12.005
DOI https://doi.org/10.1016/j.jempfin.2016.12.005
Keywords Nonparametric test; Stochastic volatility models
Publisher URL http://www.sciencedirect.com/science/article/pii/S092753981630161X
Copyright Statement Copyright information regarding this work can be found at the following address: http://eprints.nottingh.../end_user_agreement.pdf

Files

svtestret.pdf (510 Kb)
PDF

Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf


svtestret_onlineapp.pdf (133 Kb)
PDF

Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf





You might also like



Downloadable Citations

;