In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the gen...In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the generalized information equality in the context of martingale estimating equations. We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure. Through intensive simulation studies, we show that our approach is well performed in the aspects of type I error control, power improvement as well as computational efficiency.展开更多
基金Supported by the Quantitative Finance Foundation of Southwestern University of Finance and Economics
文摘In this paper, we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model. The key idea behind the development of our test statistic is rooted in the generalized information equality in the context of martingale estimating equations. We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure. Through intensive simulation studies, we show that our approach is well performed in the aspects of type I error control, power improvement as well as computational efficiency.
