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robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …
Persistent link: https://www.econbiz.de/10009719116
This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more...
Persistent link: https://www.econbiz.de/10005593525
This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain...
Persistent link: https://www.econbiz.de/10005593565
We propose novel misspecification tests of semiparametric and fully parametric univariate diffusion models based on the …
Persistent link: https://www.econbiz.de/10008512968
A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class …
Persistent link: https://www.econbiz.de/10008527073
Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based …
Persistent link: https://www.econbiz.de/10008462024
We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...
Persistent link: https://www.econbiz.de/10015231990
sample behaviour in a numerical study. Finally, we discuss several extensions, like the semiparametric case, or correlated …
Persistent link: https://www.econbiz.de/10010318707
We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...
Persistent link: https://www.econbiz.de/10010318779
We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...
Persistent link: https://www.econbiz.de/10011261127