For testing error variance instability, a test based on CUSUM squares of the residuals in HAR model is constructed and its limiting null distribution is derived to be a simple function of the standard Brownian bridge. A finite sample Monte-Carlo experiment shows reasonable size and power...

We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving average (ARFIMA) process subject to structural breaks with unknown break dates. We show that an ARFIMA process subject to a mean shift and a change in the long memory parameter can...

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR–GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. We...

This paper considers a sequence of misspecification tests for a flexible nonlinear time series model. The model is a generalization of both the Smooth Transition AutoRegressive (STAR) and the AutoRegressive Artificial Artificial Neural Network (AR-ANN) models. The tests are Lagrange multiplier...

In this paper a unified framework for testing the adequacy of an estimated GARCH model is presented. Parametric LM or LM type tests of no ARCH in standardized errors, linearity, and parameter constancy are proposed. The asymptotic null distributions of the tests are standard, which makes...

Intraday data of 26 German stocks are used to investigate whether the information contained in trading volume and number of trades as well as in various specifications of overnight returns can improve one-step-ahead volatility forecasts. For this purpose, a HAR model of the realized range...

Nowcasting volatility of financial time series appears difficult with classical volatility models. This paper proposes a simple model, based on an ARMA representation of the log-transformed squared returns, that allows to estimate current volatility, given past and current returns, in a very...

Rapach et al. (2013) have recently shown that U.S. equity market returns carry valuable information to improve return forecasts in a large cross-section of international equity markets. In this study, we extend the work of Rapach et al. (2013) and examine if U.S. based equity market information...

This discussion paper led to an article in the <I>Journal of Risk and Financial Management</I> (2014). Volume 7(2), pages 80-109.<P> In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where...</p></i>