Goodness-of-Fit Test in Multivariate Jump Diffusion Models

doi:10.1080/07350015.2017.1321547

CORC > 上海财经大学 > 上海财经大学

	Goodness-of-Fit Test in Multivariate Jump Diffusion Models
	Zhang, Shulin 1; Zhou, Qian M.2; Zhu, Dongming 3,4; Song, Peter X. -K.5
刊名	JOURNAL OF BUSINESS & ECONOMIC STATISTICS
	2019-04-03
卷号	37 期号:2 页码:275-287
关键词	Approximate MLE In-sample likelihood Information matrix Model specification test Out-of-sample likelihood
ISSN号	0735-0015
DOI	10.1080/07350015.2017.1321547
英文摘要	In this article, we develop a new goodness-of-fit test for multivariate jump diffusion models. The test statistic is constructed by a contrast between an "in-sample" likelihood (or a likelihood of observed data) and an"out-of-sample" likelihood (or a likelihood of predicted data). We show that under the null hypothesis of a jump diffusion process being correctly specified, the proposed test statistic converges in probability to a constant that equals to the number of model parameters in the null model. We also establish the asymptotic normality for the proposed test statistic. To implement this method, we invoke a closed-form approximation to transition density functions, which results in a computationally efficient algorithm to evaluate the test. Using Monte Carlo simulation experiments, we illustrate that both exact and approximate versions of the proposed test perform satisfactorily. In addition, we demonstrate the proposed testing method in several popular stochastic volatility models for time series of weekly S&P 500 index during the period of January 1990 and December 2014, in which we invoke a linear affine relationship between latent stochastic volatility and the implied volatility index.
WOS研究方向	Business & Economics ; Mathematical Methods In Social Sciences ; Mathematics
语种	英语
出版者	AMER STATISTICAL ASSOC
WOS记录号	WOS:000467853000008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/289]
专题	上海财经大学
通讯作者	Zhang, Shulin
作者单位	1.Southwestern Univ Finance & Econ, Sch Stat, Ctr Stat Res, Chengdu 610072, Sichuan, Peoples R China; 2.Mississippi State Univ, Dept Math & Stat, Mississippi State, MS 39762 USA; 3.Shanghai Univ Finance & Econ, Sch Econ, Shanghai 200433, Peoples R China; 4.Shanghai Univ Finance & Econ, Key Lab Math Econ, Shanghai 200433, Peoples R China; 5.Univ Michigan, Dept Biostat, Ann Arbor, MI 48109 USA
推荐引用方式 GB/T 7714	Zhang, Shulin,Zhou, Qian M.,Zhu, Dongming,et al. Goodness-of-Fit Test in Multivariate Jump Diffusion Models[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS,2019,37(2):275-287.
APA	Zhang, Shulin,Zhou, Qian M.,Zhu, Dongming,&Song, Peter X. -K..(2019).Goodness-of-Fit Test in Multivariate Jump Diffusion Models.JOURNAL OF BUSINESS & ECONOMIC STATISTICS,37(2),275-287.
MLA	Zhang, Shulin,et al."Goodness-of-Fit Test in Multivariate Jump Diffusion Models".JOURNAL OF BUSINESS & ECONOMIC STATISTICS 37.2(2019):275-287.