Feldmann, David
[Author];
Härdle, Wolfgang Karl
[Author];
Hafner, Christian M.
[Author];
Hoffmann, Marc
[Author];
Lepskii, Oleg V.
[Author];
Tsybakov, Alexandre B.
[Author]
Flexible stochastic volatility structures for high frequency financial data
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Media type:
Report;
E-Book
Title:
Flexible stochastic volatility structures for high frequency financial data
Contributor:
Feldmann, David
[Author];
Härdle, Wolfgang Karl
[Author];
Hafner, Christian M.
[Author];
Hoffmann, Marc
[Author];
Lepskii, Oleg V.
[Author];
Tsybakov, Alexandre B.
[Author]
imprint:
Berlin: Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, 1998
Language:
English
Origination:
Footnote:
Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
Description:
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a simulation study and apply the test to the HFDF96 data set. Our results confirm a linear AR(1) structure for the analyzed stock indices S&P500, Dow Jones Industrial Average and for the exchange rate DEM/USD.