González Manteiga, WenceslaoFebrero Bande, ManuelLópez Pérez, Alejandra2023-01-092022http://hdl.handle.net/10347/29802Due to their analytical tractability, continuous-time models have become a centerpiece in the financial literature. The goal of this thesis is the development of new goodness-of-fit test for continuous-time diffusion models, considering stochastic differential equations with deterministic and stochastic volatility and Itô diffusions as functional time series. Notwithstanding the importance of goodness-of-fit tools, latent factors and a continuous-time setting with observations occurring at discrete time points challenge the estimation of the models. Therefore, the estimation problem is addressed, as it hinders the goodness-of-fit procedures, discussing the intricacies of different estimation implementations prior to the methodological contribution of the test procedures.engAttribution-NonCommercial-NoDerivatives 4.0 Internacionalhttp://creativecommons.org/licenses/by-nc-nd/4.0/Diffusion processFunctional dataGoodness-of-fitInterest rateStochastic differential equationsStochastic volatilityMaterias::Investigación::12 Matemáticas::1209 Estadística::120911 Teoría estocástica y análisis de series temporalesMaterias::Investigación::12 Matemáticas::1209 Estadística::120913 Técnicas de inferencia estadísticaMaterias::Investigación::12 Matemáticas::1209 Estadística::120902 Calculo en estadísticadoctoral thesisopen access