Heng Peng

Hong Kong Baptist University (HKBU)

Kowloon

Hong Kong

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Scholarly Papers (1)

1.

Nonparametric Transition-Based Tests for Jump-Diffusions

Number of pages: 54 Posted: 11 Jan 2007
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and Hong Kong Baptist University (HKBU)
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Abstract:

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Generalized likelihood ratio tests, local linear fit, null distribution, jump-diffusions, Markovian processes, power, specification tests, transition density