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The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2004
The paper evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for beta-mixing processes and EDF-based tests for the residuals of such nonlinear dependent...
Persistent link: https://www.econbiz.de/10005100727
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Information Content of Volatility Forecasts at Medium-term Horizons
Galbraith, John; Kisinbay, Turgut - Centre Interuniversitaire de Recherche en Analyse des … - 2002
volatility from standard QML-estimated GARCH models, and from projections on past realized volatilities obtained from high … and Wright (2001), that projections on past realized volatility provide better 1-step forecasts than the QML-GARCH … modèles GARCH-QVM standard et à partir de projections directes sur les volatilités réalisées. Nous considérons un horizon …
Persistent link: https://www.econbiz.de/10005101091