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

Listed author(s):
  • Lahaye, Jerome
  • Shaw, Philip

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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File URL: http://www.sciencedirect.com/science/article/pii/S0165176514002584
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 125 (2014)
Issue (Month): 1 ()
Pages: 43-46

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Handle: RePEc:eee:ecolet:v:125:y:2014:i:1:p:43-46
DOI: 10.1016/j.econlet.2014.07.003
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
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  11. Souček, Michael & Todorova, Neda, 2014. "Realized volatility transmission: The role of jumps and leverage effects," Economics Letters, Elsevier, vol. 122(2), pages 111-115.
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  15. Charles S. Bos & Paweł Janus & Siem Jan Koopman, 2012. "Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(2), pages 354-389, 2012 06.
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