2 citations · 2 across the 3 of their papers we have counts for
3 papers
A Comparative Review of Specification Tests for Diffusion Models
Alejandra López-Pérez, Manuel Febrero-Bande, Wenceslao González-Manteiga
Diffusion models play an essential role in modeling continuous-time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decade…
Estimation and Specification Test for Diffusion Models with Stochastic Volatility
Alejandra López-Pérez, Manuel Febrero-Bande, Wenceslao González-Manteiga
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the dr…
Novel specification tests for additive concurrent model formulation based on martingale difference divergence
Laura Freijeiro-González, Manuel Febrero-Bande, Wenceslao González-Manteiga
Novel significance tests are proposed for the quite general additive concurrent model formulation without the need of model, error structure preliminary estimation or the use of tu…