Additive modeling of realized variance : tests for parametric specifications and structural breaks

Matthias R. Fengler; Enno Mammen; Michael Vogt

Year of publication:	2013
Authors:	Fengler, Matthias ; Mammen, Enno ; Vogt, Michael
Publisher:	St. Gallen : School of Economics and Political Science, Dep. of Economics, Univ.
Subject:	Additive models \| Backfitting \| Nonparametric time series analysis \| Specification tests \| Realized variance \| Heterogeneous autoregressive model \| Zeitreihenanalyse \| Time series analysis \| Varianzanalyse \| Analysis of variance \| Strukturbruch \| Structural break \| Schätztheorie \| Estimation theory \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Volatilität \| Volatility \| Autokorrelation \| Autocorrelation \| Schätzung \| Estimation \| Modellierung \| Scientific modelling