Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
提出一种检验随机波动率模型设定是否正确的方法，通过比较实现波动率矩与模型隐含积分波动率矩来构造检验，并用道琼斯工业平均指数中的三只股票进行实证说明。
This paper proposes a procedure to test for the correct specification of the functional form of the volatility process within the class of eigenfunction stochastic volatility models. The procedure is based on the comparison of the moments of realized volatility measures with the corresponding ones of integrated volatility implied by the model under the null hypothesis. We first provide primitive conditions on the measu rement error associated with the realized measure, which allow to construct asymptotically valid specification tests. Then we establish regularity conditions under which the considered realized measures, namely, realized volatility, bipower variation, and modified subsampled realized volatility, satisfy the given primitive assumptions. Finally, we provide an empirical illustration based on thr ee stocks from the Dow Jones Industrial Average. © 2006 The Review of Economic Studies Limited.