Heterogeneous autoregressive model with structural break using nearest neighbor truncation volatility estimators for DAX

High frequency financial data modelling has become one of the important research areas in the field of financial econometrics. However, the possible structural break in volatile financial time series often trigger inconsistency issue in volatility estimation. In this study, we propose a structural b...

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Detalles Bibliográficos
Autores principales: Chin, Wen Cheong, Lee, Min Cherng, Yap, Grace Lee Ching
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2016
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5097780/
https://www.ncbi.nlm.nih.gov/pubmed/27872795
http://dx.doi.org/10.1186/s40064-016-3465-x

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5097780/
https://www.ncbi.nlm.nih.gov/pubmed/27872795
http://dx.doi.org/10.1186/s40064-016-3465-x

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