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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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Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …
Persistent link: https://www.econbiz.de/10011568279
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Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications
Phillips, Peter C. B.; Xu, Ke-Li - 2010
This paper proposes a novel positive nonparametric estimator of the conditional variance function without reliance on logarithmic or other transformations. The estimator is based on an empirical likelihood modification of conventional local level nonparametric regression applied to squared mean...
Persistent link: https://www.econbiz.de/10014049786
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Volatility Estimation and Forecasts Based on Price Durations
Hong, Seok Young - 2020
duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi …
Persistent link: https://www.econbiz.de/10012855793
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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
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Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - In: Econometrics : open access journal 6 (2018) 2, pp. 1-25
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/10011823308
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
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Estimation and testing in a perturbed multivariate long memory framework
Less, Vivien; Sibbertsen, Philipp - 2022
We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...
Persistent link: https://www.econbiz.de/10014247836
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Nonparametric Kernel density estimation near the boundary
Malec, Peter; Schienle, Melanie - 2012 - This Version: August 13, 2012
methodology in practice. -- Kernel density estimation ; boundary correction ; asymmetric kernel …
Persistent link: https://www.econbiz.de/10009577035
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Common price and volatility jumps in noisy high-frequency data
Bibinger, Markus; Winkelmann, Lars - 2014
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...
Persistent link: https://www.econbiz.de/10010384595