The Library
Estimating and testing stochastic volatility models using realized measures
Tools
Corradi, Valentina and Distaso, Walter (2004) Estimating and testing stochastic volatility models using realized measures. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).
|
PDF
WRAP_Corradi_fwp04-17.pdf - Requires a PDF viewer. Download (950Kb) |
Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
Abstract
This paper proposes a procedure to test for the correct specification of the functional form of the volatility process, within the class of eigenfunction stochastic volatility models (Meddahi, 2001). The procedure is based on the comparison of the moments of realized volatility measures with the corresponding ones of integrated volatility implied by the model under the null hypothesis. We first provide primitive conditions on the measurement error associated with the realized measure, which allow to construct asymptotically valid specification tests. Then we establish regularity conditions under which realized volatility, bipower variation (Barndorff-Nielsen & Shephard, 2004d), and modified subsampled realized volatility (Zhang, Mykland & Aït Sahalia, 2003), satisfy the given primitive assumptions.
Finally, we provide an empirical illustration based on three stock from the Dow Jones Industrial Average.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
||||
Library of Congress Subject Headings (LCSH): | Moments method (Statistics), Eigenfunctions, Stochastic analysis, Dow Jones industrial average | ||||
Series Name: | Working papers (Warwick Business School. Financial Econometrics Research Centre) | ||||
Publisher: | Warwick Business School, Financial Econometrics Research Centre | ||||
Place of Publication: | Coventry | ||||
Official Date: | October 2004 | ||||
Dates: |
|
||||
Number: | No.04- | ||||
Number of Pages: | 49 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC) | ||||
Grant number: | R000230006 (ESRC) |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year