Flexible stochastic volatility structures for high frequency financial data
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a simulation study and apply the test to the HFDF96 data set. Our results confirm a linear AR(1) structure for the analyzed stock indices S&P500, Dow Jones Industrial Average and for the exchange rate DEM/USD.
Year of publication: |
1998
|
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Authors: | Feldmann, David ; Härdle, Wolfgang Karl ; Hafner, Christian M. ; Hoffmann, Marc ; Lepskii, Oleg V. ; Tsybakov, Alexandre B. |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Saved in:
freely available
Series: | SFB 373 Discussion Paper ; 1998,34 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 721952062 [GVK] hdl:10419/61309 [Handle] RePEc:zbw:sfb373:199834 [RePEc] |
Source: |
Persistent link: https://www.econbiz.de/10010309921
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