Matches in SemOpenAlex for { <https://semopenalex.org/work/W3121413061> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W3121413061 abstract "This paper makes two contributions. First, we outline a simple simulation based framework for constructing conditional distributions for multi-factor and multi-dimensional diffusion processes, for the case where the functional form of the conditional density is unknown. The distributions can be used, for example, to form conditional confidence intervals for time period t + ¥o , say, given information up to period t. Second, we use the simulation based approach to construct a test for the correct specification of a diffusion process. The suggested test is in the spirit of the conditional Kolmogorov test of Andrews (1997). However, in the present context the null conditional distribution is unknown and is replaced by its simulated counterpart. The limiting distribution of the test statistic is not nuisance parameter free. In light of this, asymptotically valid critical values are obtained via appropriate use of the block bootstrap. The suggested test has power against a larger class of alternatives than tests that are constructed using marginal distributions/densities, such as those in Ai§©¥t-Sahalia (1996) and Corradi and Swanson (2005). The findings of a small Monte Carlo experiment underscore the good finite sample properties of the proposed test, and an empirical illustration underscores the ease with which the proposed simulation and testing methodology can be applied." @default.
- W3121413061 created "2021-02-01" @default.
- W3121413061 creator A5036585589 @default.
- W3121413061 creator A5044009212 @default.
- W3121413061 creator A5078970089 @default.
- W3121413061 date "2006-09-22" @default.
- W3121413061 modified "2023-09-27" @default.
- W3121413061 title "A Simulation Based Specification Test for Diffusion Processes" @default.
- W3121413061 hasPublicationYear "2006" @default.
- W3121413061 type Work @default.
- W3121413061 sameAs 3121413061 @default.
- W3121413061 citedByCount "0" @default.
- W3121413061 crossrefType "posted-content" @default.
- W3121413061 hasAuthorship W3121413061A5036585589 @default.
- W3121413061 hasAuthorship W3121413061A5044009212 @default.
- W3121413061 hasAuthorship W3121413061A5078970089 @default.
- W3121413061 hasConcept C105795698 @default.
- W3121413061 hasConcept C121332964 @default.
- W3121413061 hasConcept C121864883 @default.
- W3121413061 hasConcept C149782125 @default.
- W3121413061 hasConcept C151730666 @default.
- W3121413061 hasConcept C169857963 @default.
- W3121413061 hasConcept C185429906 @default.
- W3121413061 hasConcept C194531419 @default.
- W3121413061 hasConcept C19499675 @default.
- W3121413061 hasConcept C2779343474 @default.
- W3121413061 hasConcept C28826006 @default.
- W3121413061 hasConcept C33923547 @default.
- W3121413061 hasConcept C41008148 @default.
- W3121413061 hasConcept C43555835 @default.
- W3121413061 hasConcept C82581908 @default.
- W3121413061 hasConcept C86803240 @default.
- W3121413061 hasConcept C87007009 @default.
- W3121413061 hasConceptScore W3121413061C105795698 @default.
- W3121413061 hasConceptScore W3121413061C121332964 @default.
- W3121413061 hasConceptScore W3121413061C121864883 @default.
- W3121413061 hasConceptScore W3121413061C149782125 @default.
- W3121413061 hasConceptScore W3121413061C151730666 @default.
- W3121413061 hasConceptScore W3121413061C169857963 @default.
- W3121413061 hasConceptScore W3121413061C185429906 @default.
- W3121413061 hasConceptScore W3121413061C194531419 @default.
- W3121413061 hasConceptScore W3121413061C19499675 @default.
- W3121413061 hasConceptScore W3121413061C2779343474 @default.
- W3121413061 hasConceptScore W3121413061C28826006 @default.
- W3121413061 hasConceptScore W3121413061C33923547 @default.
- W3121413061 hasConceptScore W3121413061C41008148 @default.
- W3121413061 hasConceptScore W3121413061C43555835 @default.
- W3121413061 hasConceptScore W3121413061C82581908 @default.
- W3121413061 hasConceptScore W3121413061C86803240 @default.
- W3121413061 hasConceptScore W3121413061C87007009 @default.
- W3121413061 hasLocation W31214130611 @default.
- W3121413061 hasOpenAccess W3121413061 @default.
- W3121413061 hasPrimaryLocation W31214130611 @default.
- W3121413061 hasRelatedWork W1479846261 @default.
- W3121413061 hasRelatedWork W1981499397 @default.
- W3121413061 hasRelatedWork W2025752311 @default.
- W3121413061 hasRelatedWork W2037325988 @default.
- W3121413061 hasRelatedWork W2129656511 @default.
- W3121413061 hasRelatedWork W2139498882 @default.
- W3121413061 hasRelatedWork W2165852644 @default.
- W3121413061 hasRelatedWork W2255282671 @default.
- W3121413061 hasRelatedWork W2522022257 @default.
- W3121413061 hasRelatedWork W2661655577 @default.
- W3121413061 hasRelatedWork W2744472898 @default.
- W3121413061 hasRelatedWork W2801961925 @default.
- W3121413061 hasRelatedWork W3104623365 @default.
- W3121413061 hasRelatedWork W3121792101 @default.
- W3121413061 hasRelatedWork W3122647608 @default.
- W3121413061 hasRelatedWork W3125012211 @default.
- W3121413061 hasRelatedWork W3125187386 @default.
- W3121413061 hasRelatedWork W3125394553 @default.
- W3121413061 hasRelatedWork W3176724415 @default.
- W3121413061 hasRelatedWork W3124609146 @default.
- W3121413061 isParatext "false" @default.
- W3121413061 isRetracted "false" @default.
- W3121413061 magId "3121413061" @default.
- W3121413061 workType "article" @default.