Economic data are frequently generated by stochastic processes that can be modeled as realizations of random functions (functional data). This paper adapts the specification test for functional data developed by Bugni, Hall, Horowitz and Neumann (2008) to the presence of missing observations. By...

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...