Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV

This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV (NPHAR-RV), we are unable to reject the null of linearity.

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Year of publication:	2014
Authors:	Lahaye, Jerome ; Shaw, Philip
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 1, p. 43-46
Publisher:	Elsevier
Subject:	Nonparametric \| Realized volatility \| HAR \| Heterogeneous \| Autoregressive

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; c58 ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010939493