Xiangjin B Chen
Biographic Data
| ID | 8920100 |
|---|---|
| NAME | Xiangjin B Chen |
| GIVEN NAMES | Xiangjin B |
| FAMILY NAME | Chen |
| SIGNATURE | CHEN X B |
| AFFILIATIONS | Monash University |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2018 |
| LATEST PUBLICATION YEAR | 2018 |
| H-INDEX | 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 …
No prominent works on this page.
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 work) · Economics (1 work) · Estimation (1 work) · Financial Risk and Volatility Modeling (1 work) · Hydrology and Drought Analysis (1 work) · Management (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work) · Nonparametric statistics (1 work) · Operations research (1 work)