Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5059375 | Economics Letters | 2014 | 4 Pages |
Abstract
This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV (NPHAR-RV), we are unable to reject the null of linearity.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jerome Lahaye, Philip Shaw,