Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
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- Fengler, M.R. & Mammen, E. & Vogt, M., 2015. "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, vol. 188(1), pages 196-218.
More about this item
KeywordsBootstrap method; heterogeneous autoregressive model; locally stationary process; nonparametric method;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-16 (All new papers)
- NEP-ECM-2013-11-16 (Econometrics)
- NEP-ETS-2013-11-16 (Econometric Time Series)
- NEP-FOR-2013-11-16 (Forecasting)
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