Can we reject linearity in an HAR-RV model for the S&P 500? : insights from a nonparametric HAR-RV
Jerome Lahaye; Philip Shaw
| Year of publication: |
2014
|
|---|---|
| Authors: | Lahaye, Jérôme ; Shaw, Philip |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 125.2014, 1, p. 43-46
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| Subject: | Nonparametric | Realized volatility | HAR | Heterogeneous | Autoregressive | Nichtparametrisches Verfahren | Nonparametric statistics | Volatilität | Volatility | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010504778