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Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Baruník, Jozef - 2013

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized … volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model …-free option-implied volatility (MFIV) when assessing the fractional cointegrating relation as the latter may introduce bias to the …

Persistent link: https://www.econbiz.de/10013090381

Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression

Barunik, Jozef; Barunikova, Michaela - 2015

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized … volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of … future volatility. It is argued that the concept of corridor implied volatility (CIV) should be used instead of the popular …

Persistent link: https://www.econbiz.de/10011280711

Reducing the bias of the smoothed log periodogram regression for financial high-frequency data

Reschenhofer, Erhard; Mangat, Manveer Kaur - In: Econometrics : open access journal 8 (2020) 4/40, pp. 1-16

-range dependencies are present only in the intraday volatility but not in the intraday returns. Finally, the robustness of these findings …

Persistent link: https://www.econbiz.de/10012312096

Application of the Scaling Functions to Nonparametric Regression

Manole, Daniel Sorin - 2007

For estimating regression function we can use many proceedings. In this paper, we have chosen to apply scaling functions to the estimation of regression functions. When one knows many bivariate date with the values of two variables, in the goal to express a correlation between the two variables...

Persistent link: https://www.econbiz.de/10014051848

Admissible Invariant Similar Tests for Instrumental Variables Regression

Chernozhukov, Victor; Hansen, Christian Bailey; … - 2007

This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004). The class of tests covered by this admissibility result contains the Anderson and...

Persistent link: https://www.econbiz.de/10014026286

Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts

De Gooijer, Jan G. - 2019

We propose a hybrid penalized averaging for combining parametric and non-parametric quantile forecasts when faced with a large number of predictors. This approach goes beyond the usual practice of combining conditional mean forecasts from parametric time series models with only a few predictors....

Persistent link: https://www.econbiz.de/10012859663

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

Sun, Yixiao - 2008

In time series regression with nonparametrically autocorrelated errors, it is now standard empirical practice to construct confidence intervals for regression coefficients on the basis of nonparametrically studentized t-statistics. The standard error used in the studentization is typically...

Persistent link: https://www.econbiz.de/10012771849

Semi-Parametric Single-Index Predictive Regression Models with Cointegrated Regressors

Zhou, Weilun - 2020

This paper considers the estimation of a semi-parametric single-index regression model that allows for nonlinear predictive relationships. This model is useful for predicting financial asset returns, whose observed behavior is described by a stationary process, when the multiple non-stationary...

Persistent link: https://www.econbiz.de/10012822931

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...

Persistent link: https://www.econbiz.de/10014088395

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214