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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2015
estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …
Persistent link: https://www.econbiz.de/10010487528
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Estimation of Stochastic Volatility Models by Nonparametric Filtering
Kanaya, Shin; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010
replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility …
Persistent link: https://www.econbiz.de/10008677955
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A Kernel Technique for Forecasting the Variance-Covariance Matrix
Becker, Ralf; Clements, Adam; O'Neill, Robert - National Centre for Econometric Research (NCER) - 2010
has focused on multivariate models to forecast this quantity. This paper develops a nonparametric technique for generating …
Persistent link: https://www.econbiz.de/10008694508
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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined …
Persistent link: https://www.econbiz.de/10010253467
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Simple factor realized stochastic volatility models
Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110
Persistent link: https://www.econbiz.de/10014288373
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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined …
Persistent link: https://www.econbiz.de/10010333208
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Kernel Estimation in Regime-Varying Regression Models
Cron, Axel - University of Bonn, Germany - 1995
We analyze the asymptotic behaviour of kernel
Persistent link: https://www.econbiz.de/10004968259
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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
Kristensen, Dennis - Økonomisk Institut, Københavns Universitet - 2010
either the drift or the diffusion term in a diffusion model, nonparametric kernel estimators of the remaining term can be …
Persistent link: https://www.econbiz.de/10008512968
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Efficient Regression in Time Series Partial Linear Models
Phillips, Peter C.B.; Guo, Binbin; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002
nonparametric treatment of regression errors is permitted so that it is not necessary to be explicit about the dynamic specification …
Persistent link: https://www.econbiz.de/10005593565
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A local instrumental variable estimation method for generalized additive volatility models
Kim, Woocheol; Linton, Oliver - London School of Economics (LSE) - 2004
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models …
Persistent link: https://www.econbiz.de/10010746316