Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
نویسندگان
چکیده
منابع مشابه
Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
This paper introduces a new speci cation for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coe¢ cients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for estimating this TVC-HAR model as well as a bootstrap method for constructing con dence intervals for the time...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2320312