Semimartingale detection and goodness-of-fit tests
Statistics Theory
2016-06-07 v4 Statistical Finance
Statistics Theory
Abstract
In quantitative finance, we often fit a parametric semimartingale model to asset prices. To ensure our model is correct, we must then perform goodness-of-fit tests. In this paper, we give a new goodness-of-fit test for volatility-like processes, which is easily applied to a variety of semimartingale models. In each case, we reduce the problem to the detection of a semimartingale observed under noise. In this setting, we then describe a wavelet-thresholding test, which obtains adaptive and near-optimal detection rates.
Keywords
Cite
@article{arxiv.1506.00088,
title = {Semimartingale detection and goodness-of-fit tests},
author = {Adam D. Bull},
journal= {arXiv preprint arXiv:1506.00088},
year = {2016}
}