Non-Parametric Specification Testing for Continuous-Time Markov Processes: Do the Processes Follow Diffusions?


金谷信(ウィスコンシン大学マディソン校経済学部)
  1. MMDSについて
  2. MMDSの教員・組織
  3. MMDSで学びたい方へ
  4. カリキュラム
  5. MMDSの活動

  6. 学内向け情報

大阪大学 金融・保険セミナーシリーズ 第14回
Non-Parametric Specification Testing for Continuous-Time Markov Processes: Do the Processes Follow Diffusions?

金谷信(ウィスコンシン大学マディソン校経済学部)

I propose a new non-parametric testing procedure to determine whether or not an underlying continuous-time process is a diffusion. While many papers in economics and finance presuppose that the dynamics of economic variables are described by diffusion processes, an empirical validation of the diffusion hypothesis is rarely found. I develop a new theorem which non-parametrically and fully identifies diffusion processes within a class of univariate stationary Markov processes through their infinitesimal generators - functional operators computed via derivatives of the conditional expectations with respect to time. I construct test statistics based on this theorem and derive their asymptotic distributions.
I also propose a simulation-based technique to approximate the asymptotic distributions, since the distributions of the original statistics depend upon a large number of unknown parameters and functions. Monte-Carlo simulations are conducted to study the finite-sample size and power properties of the test. I apply the proposed method to short-term interest rates and foreign exchange rates to examine the validity of the diffusion hypothesis.

講 師:
金谷信(ウィスコンシン大学マディソン校経済学部)
テーマ:
Non-Parametric Specification Testing for Continuous-Time Markov Processes: Do the Processes Follow Diffusions?
日 時:
2008年04月25日(金)16:20-17:50
場 所:
基礎工学研究科B棟1階 104教室
参加費:
無料
アクセス:
会場までのアクセスは下記URLをご参照ください。
http://www.es.osaka-u.ac.jp/access/
お問い合せ:
本ウェブサイトの「お問い合せ」のページをご参照ください。