Search Results for author:
Found 4 papers, 1 papers with code
Testing for an Explosive Bubble using High-Frequency Volatility
A real-time date-stamping strategy based on the devolatized sample is proposed for the origination and conclusion dates of the explosive regime.
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions.
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
We show that adaptive information criteria-based approaches can be used to estimate the autoregressive lag order to use in connection with bootstrap adaptive PLR tests, or to jointly determine the co-integration rank and the VAR lag length and that in both cases they are weakly consistent for these parameters in the presence of non-stationary volatility provided standard conditions hold on the penalty term.
Bootstrapping Non-Stationary Stochastic Volatility
Instead, we use the concept of `weak convergence in distribution' to develop and establish novel conditions for validity of the wild bootstrap, conditional on the volatility process.
