Advances in statistical inference for econometric diffusion models
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http://hdl.handle.net/10347/29802
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Título: | Advances in statistical inference for econometric diffusion models |
Autor/a: | López Pérez, Alejandra María |
Dirección/Titoría: | González Manteiga, Wenceslao Febrero Bande, Manuel |
Centro/Departamento: | Universidade de Santiago de Compostela. Escola de Doutoramento Internacional (EDIUS) Universidade de Santiago de Compostela. Programa de Doutoramento en Estatística e Investigación Operativa |
Palabras chave: | Diffusion process | Functional data | Goodness-of-fit | Interest rate | Stochastic differential equations | Stochastic volatility | |
Data: | 2022 |
Resumo: | Due to their analytical tractability, continuous-time models have become a centerpiece in the financial literature. The goal of this thesis is the development of new goodness-of-fit test for continuous-time diffusion models, considering stochastic differential equations with deterministic and stochastic volatility and Itô diffusions as functional time series. Notwithstanding the importance of goodness-of-fit tools, latent factors and a continuous-time setting with observations occurring at discrete time points challenge the estimation of the models. Therefore, the estimation problem is addressed, as it hinders the goodness-of-fit procedures, discussing the intricacies of different estimation implementations prior to the methodological contribution of the test procedures. |
Data de Embargo: | 2023-11-25 |
URI: | http://hdl.handle.net/10347/29802 |
Dereitos: | Attribution-NonCommercial-NoDerivatives 4.0 Internacional |
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- Área de Ciencias [953]
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