Search Results - subject:"Nonparametric Volatility"

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Adaptive testing for cointegration with nonstationary volatility

Boswijk, Herman Peter; Zu, Yang - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 744-755

Persistent link: https://www.econbiz.de/10013534484

Tests for equal forecast accuracy under heteroskedasticity

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Journal of applied econometrics 39 (2024) 5, pp. 850-869

Persistent link: https://www.econbiz.de/10015156787

Estimation with mixed data frequencies : a bias-correction approach

Ghosh, Anisha; Linton, Oliver - In: Journal of empirical finance 74 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014477062

Adaptive Testing for Cointegration with Nonstationary Volatility

Boswijk, Herman Peter; Zu, Yang - 2019

possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local power …

Persistent link: https://www.econbiz.de/10012114796

Estimation with mixed data frequencies: A bias-correction approach

Ghosh, Anisha; Linton, Oliver Bruce - 2019

We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected return of the stock market and its conditional variance due to the latency of these conditional moments. We use intra-period returns to construct a nonparametric proxy for the...

Persistent link: https://www.econbiz.de/10012146417

Estimation with mixed data frequencies : a bias-correction approach

Ghosh, Anisha; Linton, Oliver - 2019

Persistent link: https://www.econbiz.de/10012128650

Information gains from using short-dated options for measuring and forecasting volatility

Todorov, Viktor; Zhang, Yang - In: Journal of applied econometrics 37 (2022) 2, pp. 368-391

Persistent link: https://www.econbiz.de/10013165240

Adaptive testing for cointegration with nonstationary volatility

Boswijk, Herman Peter; Zu, Yang - 2019

process is possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local …

Persistent link: https://www.econbiz.de/10012026102

Common price and volatility jumps in noisy high-frequency data

Bibinger, Markus; Winkelmann, Lars - 2014

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...

Persistent link: https://www.econbiz.de/10010427053

Common price and volatility jumps in noisy high-frequency data

Bibinger, Markus; Winkelmann, Lars - 2014

Persistent link: https://www.econbiz.de/10010384595

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