Showing 1 - 10 of 10
This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first-order...
Persistent link: https://www.econbiz.de/10014536973
We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant...
Persistent link: https://www.econbiz.de/10013286018
We propose estimators of the memory parameter of a time series that are robust to a wide variety of random level shift processes, deterministic level shifts and deterministic time trends. The estimators are simple trimmed versions of the popular log-periodogram regression estimator that employ...
Persistent link: https://www.econbiz.de/10010420260
This paper considers testing procedures for the null hypothesis of a unit root process against the alternative of a fractional process, called a fractional unit root test. We extend the Lagrange Multiplier (LM) tests of Robinson (1994) and Tanaka (1999), which are locally best invariant and...
Persistent link: https://www.econbiz.de/10011755361
Persistent link: https://www.econbiz.de/10011755369
We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing-type...
Persistent link: https://www.econbiz.de/10013189746
The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation of a high-frequency series. Based on the theory of...
Persistent link: https://www.econbiz.de/10012611390
This book deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proved to be of importance to devise procedures that are reliable for inference and forecasting. Several important contributions have...
Persistent link: https://www.econbiz.de/10011903341
Persistent link: https://www.econbiz.de/10011934966
In empirical applications based on linear regression models, structural changes often occur in both the error variance and regression coefficients, possibly at different dates. A commonly applied method is to first test for changes in the coefficients (or in the error variance) and, conditional...
Persistent link: https://www.econbiz.de/10012696237