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Feldmann, David
Härdle, Wolfgang Karl
Hafner, Christian M.
Hoffmann, Marc
Lepskii, Oleg V.
Tsybakov, Alexandre B.
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper No. 1998,34
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a simulation study and apply the test to the HFDF96 data set. Our results confirm a linear AR(1) structure for the analyzed stock indices S&P500, Dow Jones Industrial Average and for the exchange rate DEM/USD.
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Working Paper

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