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Semi-parametric comparison of stochastic volatility models using realized measures

Corradi, V and Distaso, W (2006) Semi-parametric comparison of stochastic volatility models using realized measures Review of Economic Studies, 73 (3). pp. 635-667.

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This paper proposes a procedure to test for the correct specification of the functional form of the volatility process within the class of eigenfunction stochastic volatility models. The procedure is based on the comparison of the moments of realized volatility measures with the corresponding ones of integrated volatility implied by the model under the null hypothesis. We first provide primitive conditions on the measu rement error associated with the realized measure, which allow to construct asymptotically valid specification tests. Then we establish regularity conditions under which the considered realized measures, namely, realized volatility, bipower variation, and modified subsampled realized volatility, satisfy the given primitive assumptions. Finally, we provide an empirical illustration based on thr ee stocks from the Dow Jones Industrial Average. © 2006 The Review of Economic Studies Limited.

Item Type: Article
Divisions : Surrey research (other units)
Authors :
Distaso, W
Date : 1 July 2006
DOI : 10.1111/j.1467-937X.2006.00390.x
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:27
Last Modified : 24 Jan 2020 14:42

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