Xiangjin B Chen
Datos Biográficos
| ID | 8920100 |
|---|---|
| NOMBRE | Xiangjin B Chen |
| NOMBRES | Xiangjin B |
| APELLIDO | Chen |
| FIRMA | CHEN X B |
| AFILIACIONES | Monash University |
| VERIFICADO | No |
| TOTAL DE OBRAS | 1 |
| TOTAL DE CITAS | 0 |
| TOTAL COMO AUTOR | 1 |
| TOTAL COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 2018 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2018 |
| ÍNDICE H | 0 |
Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
This article introduces a new specification for the heterogenous autoregressive (HAR) model for the realized volatility of S&P 500 index returns. In this modeling framework, the coefficients of the HAR are allowed to be time-varying with unspecified functional forms. The local linear method with the cross-validation (CV) bandwidth selection is applied to estimate the time-varying coefficient HAR (TVC-HAR) model, and a bootstrap method is used to …
Sin obras prominentes en esta página.
Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
This article introduces a new specification for the heterogenous autoregressive (HAR) model for the realized volatility of S&P 500 index returns. In this modeling framework, the coefficients of the HAR are allowed to be time-varying with unspecified functional forms. The local linear method with the cross-validation (CV) bandwidth selection is applied to estimate the time-varying coefficient HAR (TVC-HAR) model, and a bootstrap method is used to …
Econometrics (1 obra) · Economics (1 obra) · Estimation (1 obra) · Financial Risk and Volatility Modeling (1 obra) · Hydrology and Drought Analysis (1 obra) · Management (1 obra) · Mathematics (1 obra) · Monetary Policy and Economic Impact (1 obra) · Nonparametric statistics (1 obra) · Operations research (1 obra)