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Multivariate volatility models

Fengler, Matthias; Herwartz, Helmut; Raters, F. H. C. - In: Applied quantitative finance, (pp. 25-37). 2017

Persistent link: https://www.econbiz.de/10011794951

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

Fengler, Matthias; Mammen, Enno; Vogt, Michael - 2013

Persistent link: https://www.econbiz.de/10010244914

Specification and structural break tests for additive models with applications to realized variance data

Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218

Persistent link: https://www.econbiz.de/10011500308

Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data

Fengler, Matthias - 2015

We study two types of testing problems in a nonparametric additive model setting: We develop methods to test (i) whether an additive component function has a given parametric form and (ii) whether an additive component has a structural break. We apply the theory to a nonparametric extension of...

Persistent link: https://www.econbiz.de/10013034796