ABSTRACT
This chapter demonstrates how to apply the estimation and specification testing procedures discussed in Chapters 2 and 3 to certain model estimation and specification testing problems in continuous-time models. While we use two financial data sets to illustrate the applicability of these estimation and testing procedures to continuous-time models, both the theory and methodology discussed in this chapter are applicable to model some other nonfinancial data problems. The main material of this chapter is mainly based on the joint work by Casas and Gao (2005) and Arapis and Gao (2006).
