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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
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Jackknife estimation of a cluster-sample IV regression model with many weak instruments
Chao, John C.; Swanson, Norman R.; Woutersen, Tiemen - In: Journal of econometrics 235 (2023) 2, pp. 1747-1769
Persistent link: https://www.econbiz.de/10014471426
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In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008
Cai, Lili; Swanson, Norman R. - 2011
We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...
Persistent link: https://www.econbiz.de/10010282832
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In- and Out-of-Sample Specification Analysis of Spot Rate Models : Further Evidence for the Period 1982-2008
Swanson, Norman R. - 2011
We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...
Persistent link: https://www.econbiz.de/10013124381
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In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982-2008
Cai, Lili; Swanson, Norman R. - 2011
We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...
Persistent link: https://www.econbiz.de/10009130742
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In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008
Swanson, Norman R.; Cai, Lili - Department of Economics, Rutgers University-New Brunswick - 2011
We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...
Persistent link: https://www.econbiz.de/10009372746
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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina (contributor);  … - 2006 - Rev.
volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev … and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …
Persistent link: https://www.econbiz.de/10003698522
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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - In: Journal of econometrics 150 (2009) 2, pp. 119-138
Persistent link: https://www.econbiz.de/10003858447
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Volatility in discrete and continuous-time models : a survey with new evidence on large and small jumps
Duong, Diep; Swanson, Norman R. - 2011
Persistent link: https://www.econbiz.de/10009698154
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Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470