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We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected return of the stock market and its conditional variance due to the latency of these conditional moments. We use intra-period returns to construct a nonparametric proxy for the...
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In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...
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The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal positive … a general parametric or semiparametric model to conditional volatility and then testing the implied restrictions on … parameters or curves. We propose an alternative way of testing this hypothesis using realised volatility as an alternative direct …
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