Forecasting realized volatility using a nonnegative semiparametric model

Forecasting realized volatility using a nonnegative semiparametric model

This paper introduces a parsimonious and yet flexible semiparametric model to forecastfinancial volatility. The new model extends a related linear nonnegative autoregressive modelpreviously used in the volatility literature by way of a power transformation. It is semiparametric inthe sense that the...

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Bibliographic Details
Main Authors: ERIKSSON, Anders, PREVE, Daniel P. A., Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
volatility forecasting
realized volatility
linear programming estimator
Tukey’s power transformation
nonlinear nonnegative autoregression
forecast comparisons
Econometrics
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/2312
https://ink.library.smu.edu.sg/context/soe_research/article/3311/viewcontent/jrfm_12_00139_pv_oa.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2312
https://ink.library.smu.edu.sg/context/soe_research/article/3311/viewcontent/jrfm_12_00139_pv_oa.pdf

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