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Testing for long-range dependence in financial time series
Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 93-106
Persistent link: https://www.econbiz.de/10012294575
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Testing the lag structure of assets' realized volatility dynamics
Audrino, Francesco; Camponovo, Lorenzo; Roth, Constantin - 2015
Persistent link: https://www.econbiz.de/10011289179
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Real-time monitoring test for realized volatility
Wang, Cindy Shin Huei; Hsiao, Cheng - In: Journal of time series econometrics 5 (2013) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009753112
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Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing
Messow, Philip - 2013
Persistent link: https://www.econbiz.de/10009793512
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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
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Testing for a single-factor stochastic volatility in bivariate series
Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61
single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by …
Persistent link: https://www.econbiz.de/10011555751
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Nonparametric change-point analysis of volatility
Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015
This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of … discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …
Persistent link: https://www.econbiz.de/10010477582
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Modeling time-varying skewness via decomposition for out-of-sample forecast
Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311
Persistent link: https://www.econbiz.de/10011474059
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …
Persistent link: https://www.econbiz.de/10011296114
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092