Quantile Regression for Long Memory Testing: A Case of Realized Volatility
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Título: | Quantile Regression for Long Memory Testing: A Case of Realized Volatility |
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Autor/es: | Hassler, Uwe | Rodrigues, Paulo M.M. | Rubia, Antonio |
Grupo/s de investigación o GITE: | Finanzas de Mercado y Econometría Financiera |
Centro, Departamento o Servicio: | Universidad de Alicante. Departamento de Economía Financiera y Contabilidad |
Palabras clave: | Fractional integration | Lagrange multiplier | Integrated variance | VIX |
Área/s de conocimiento: | Economía Financiera y Contabilidad |
Fecha de publicación: | 1-sep-2016 |
Editor: | Oxford University Press |
Cita bibliográfica: | Journal of Financial Econometrics. 2016, 14(4): 693-724. doi:10.1093/jjfinec/nbw001 |
Resumen: | A new class of quantile regression-based tests for fractional integration at individual and joint quantiles of a time series, thereby generalizing unit-root testing in this context, are introduced. The asymptotic null distributions of these tests are standard and free of nuisance parameters. The finite-sample validity of the approach is established through Monte Carlo simulations, which also provides evidence of power gains over least-squares-based procedures under non-Gaussian errors. An empirical application on daily realized volatility computed for a cross-section of individual stocks, on realized volatility of the S&P 500 index, and on option-based implied volatility is presented. The main finding is that the suitability of a fractionally integrated model with a constant order of integration around 0.4 cannot be rejected along the different percentiles of the distribution, providing in this way strong support for the existence of long memory in realized volatility from a completely new perspective. |
Patrocinador/es: | Financial support from the Spanish Department of Education and Innovation (Projects ECO2012-33619 and ECO2014-58434-P) is gratefully acknowledged. |
URI: | http://hdl.handle.net/10045/81612 |
ISSN: | 1479-8409 (Print) | 1479-8417 (Online) |
DOI: | 10.1093/jjfinec/nbw001 |
Idioma: | eng |
Tipo: | info:eu-repo/semantics/article |
Derechos: | © The Author, 2016. Published by Oxford University Press |
Revisión científica: | si |
Versión del editor: | https://doi.org/10.1093/jjfinec/nbw001 |
Aparece en las colecciones: | INV - Finanzas de Mercado y Econometría Financiera - Artículos de Revistas |
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Archivo | Descripción | Tamaño | Formato | |
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2016_Hassler_etal_JFinancialEconometrics_final.pdf | Versión final (acceso restringido) | 484,32 kB | Adobe PDF | Abrir Solicitar una copia |
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