Zobrazeno 1 - 10
of 131
pro vyhledávání: '"Boswijk, H. Peter"'
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the volatility informat
Externí odkaz:
http://arxiv.org/abs/2405.02087
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-
Externí odkaz:
http://arxiv.org/abs/2210.06217
Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) system of variables integrated of order one can be significantly affect
Externí odkaz:
http://arxiv.org/abs/2202.02532
Publikováno v:
In Journal of Econometrics August 2024 244(1)
In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many economic and financial time series displays persistent changes and po
Externí odkaz:
http://arxiv.org/abs/2101.03562
Autor:
Boswijk, H. Peter, Zu, Yang
Publikováno v:
The Econometrics Journal, 2018 Jan 01. 21(2), 87-113.
Externí odkaz:
https://www.jstor.org/stable/45172274
Publikováno v:
In Journal of Econometrics April 2018 203(2):256-266
Autor:
Zu, Yang, Boswijk, H. Peter
Publikováno v:
In Journal of Empirical Finance March 2017 41:53-75
Autor:
Boswijk, H. Peter
Publikováno v:
Econometric Theory, 2000 Dec 01. 16(6), 878-904.
Externí odkaz:
https://www.jstor.org/stable/3533259
Autor:
Boswijk, H. Peter1 (AUTHOR), Zu, Yang2 (AUTHOR)
Publikováno v:
Journal of Business & Economic Statistics. Apr2022, Vol. 40 Issue 2, p744-755. 12p.