1998-03-01Buch DOI: 10.18452/3728
Flexible Stochastic Volatility Structures for High Frequency Financial Data
Hafner, Christian M.
Lepski, Oleg V.
Tsybakov, Aleksandr B.
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a simulation study and apply the test to the HFDF96 data set. Our results confirm a linear AR(1) structure for the analyzed stock indices S&P500, Dow Jones Industrial Average and for the exchange rate DEM/USD.
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