Seminar 217, Risk Management:

Seminar 217, Risk Management:

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Aug 30, 2016, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: Alex Papanicolaou, UC Berkeley (Speaker - Featured)
Abstract: We provide a simple and easy to use goodness-of-fit test for the misspecification of the volatility function in diffusion models. The test uses power variations constructed as functionals of discretely observed diffusion processes.