Forecasting Realized Volatility Using a Nonnegative Semiparametric Time Series Model
This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003) by way of a power transformation. It...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1296 https://ink.library.smu.edu.sg/context/soe_research/article/2295/viewcontent/PEY.pdf |
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| Institution: | Singapore Management University |
| Language: | English |