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Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
Duffy, James A. - 2015
Persistent link: https://www.econbiz.de/10011286018
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Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
Chen, Xiangjin Bruce - 2013
This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...
Persistent link: https://www.econbiz.de/10013076694
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Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models
Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - 2013
Persistent link: https://www.econbiz.de/10010189526
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Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
Duffy, James A. - In: Econometric theory 33 (2017) 6, pp. 1387-1417
Persistent link: https://www.econbiz.de/10011810424
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Structural nonparametric cointegrating regression
Wang, Qiying; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 6, pp. 1901-1948
Persistent link: https://www.econbiz.de/10003943451
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Nonparametric estimation for a stochastic volatility model
Comte, Fabienne; Genon-Catalot, Valentine; Rozenholc, Y. - In: Finance and stochastics 14 (2010) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10003924782
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Essays on nonparametric econometrics of stochastic volatility
Zu, Yang - 2012
Persistent link: https://www.econbiz.de/10009713426
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A long-run relationship between stock price index and exchange rate : a structural nonparametric cointegration regression approach
Tsagkanos, Athanasios; Siriopoulos, Costas - In: Journal of international financial markets, … 25 (2013), pp. 106-118
Persistent link: https://www.econbiz.de/10009762800
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Specification testing in structural nonparametric cointegration
Dong, Chaohua; Gao, Jiti - 2014
Persistent link: https://www.econbiz.de/10010245252
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Dynamic misspecificaion in nonparametric cointegrating regression
Kasparis, Ioannis; Phillips, Peter C. B. - 2009
Persistent link: https://www.econbiz.de/10003842064