Time‐Varying Parameter Realized Volatility Models

DOI10.1002/for.2454zbMath1397.62161OpenAlexW2558177040MaRDI QIDQ4687622

Zhiyuan Pan, Chongfeng Wu, Yudong Wang

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2454

zbMATH Keywords

specification testnonparametric statisticautoregressive volatility model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Economic time series analysis (91B84)

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