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Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures

By VALENTINA CORRADI and WALTER DISTASO

Abstract

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. Copyright 2006 The Review of Economic Studies Limited.

DOI identifier: 10.1111/j.1467-937X.2006.00390.x
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