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Consistent nonparametric specification tests for stochastic volatility models based on the return distribution (2017)
Journal Article
Zu, Y., & Boswijk, P. (2017). Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. Journal of Empirical Finance, 41, 53-75. https://doi.org/10.1016/j.jempfin.2016.12.005

© 2016 Elsevier Ltd 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 distr... Read More about Consistent nonparametric specification tests for stochastic volatility models based on the return distribution.