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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| 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 |