Advances in statistical inference for econometric diffusion models

  1. López Pérez, Alejandra María
Dirixida por:
  1. Wenceslao González Manteiga Director
  2. Manuel Febrero Bande Director

Universidade de defensa: Universidade de Santiago de Compostela

Fecha de defensa: 25 de novembro de 2022

Tribunal:
  1. Eva Ferreira García Presidente/a
  2. Juan Carlos Reboredo Nogueira Secretario
  3. Nuno Miguel Baptista Brites Vogal
Departamento:
  1. Departamento de Estatística, Análise Matemática e Optimización

Tipo: Tese

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.