Specification and structural break tests for additive models with applications to realized variance data

DOI10.1016/J.JECONOM.2015.04.002MaRDI QIDQ2354863zbMATH OpenOpenAlexFDO

Authors Matthias R. Fengler, Enno Mammen, Michael Vogt

Publication date 27 July 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.04.002

zbMATH Keywords

additive modelsbackfittingheterogeneous autoregressive modelnonparametric time series analysisrealized variancespecification testsstructural break tests

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(3)

• Calendar effect and in-sample forecasting
• Flexible HAR model for realized volatility
• ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH

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