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Goodness-of-fit tests for kernel regression with an application to option implied volatilities

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  • Ait-Sahalia, Yacine
  • Bickel, Peter J.
  • Stoker, Thomas M.

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  • Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December.
    • Handle: RePEc:eee:econom:v:105:y:2001:i:2:p:363-412
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    5. Lavergne, Pascal & Vuong, Quang H, 1996. "Nonparametric Selection of Regressors: The Nonnested Case," Econometrica, Econometric Society, vol. 64(1), pages 207-219, January.
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    8. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
    9. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
    10. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-560, May.
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    12. P. Lavergne & Q.H. Vuong, 1996. "Nonparametric selection of regressors : the nonnested case [[Sélection non paramétrique de régresseurs : le cas de régressions non emboîtées]]," Post-Print hal-02689500, HAL.
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