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Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
Pospíšil, Jan; Sobotka, Tomáš; Ziegler, Philipp - In: Empirical economics : a journal of the Institute for … 57 (2019) 6, pp. 1935-1958
Persistent link: https://www.econbiz.de/10012215941
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Robustness and sensitivity analyses of rough Volterra stochastic volatility models
Matas, Jan; Pospíšil, Jan - In: Annals of finance 19 (2023) 4, pp. 523-543
Persistent link: https://www.econbiz.de/10014448297
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Generalized jump regressions for local moments
Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
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Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
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Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency
Kalnina, Ilze - 2015
We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices …
Persistent link: https://www.econbiz.de/10013034657
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A consistent and robust test for autocorrelated jump occurrences
Kwok, Simon Sai Man - In: Journal of financial econometrics 22 (2024) 1, pp. 157-186
Persistent link: https://www.econbiz.de/10014526309
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Can we reject linearity in an HAR-RV model for the S&P 500? : insights from a nonparametric HAR-RV
Lahaye, Jérôme; Shaw, Philip - In: Economics letters 125 (2014) 1, pp. 43-46
Persistent link: https://www.econbiz.de/10010504778
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Nonlinear and time-varying risk premia
Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012607208
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Robust online scale estimation in time series : regression-free approach
Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007
This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of triangles formed by consecutive observations of the time...
Persistent link: https://www.econbiz.de/10003483698
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Robust online scale estimation in time series : a regression-free approach
Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007
Persistent link: https://www.econbiz.de/10003623661