A Testing Procedure for Constant Parameters in Stochastic Volatility Models

被引：0

作者：

del Hoyo, Juan ^{[1
]}

Llorente, Guillermo ^{[1
]}

Rivero, Carlos ^{[2
]}

机构：

[1] Univ Autonoma Madrid, Dept Financiac & Invest Comercial, Madrid 28049, Spain

[2] Univ Complutense Madrid, Dept Econ Financiera & Actuarial Estadist, Madrid 28223, Spain

来源：

COMPUTATIONAL ECONOMICS | 2020年 / 56卷 / 01期

关键词：

Structural change; Sup-Wald test; Monte Carlo simulations; Recursive statistics; Time-varying parameters; MONTE-CARLO METHODS; STRUCTURAL-CHANGE; MOMENTS ESTIMATION; BAYESIAN-ANALYSIS; STOCK-PRICES; RISK PREMIA; JUMP; VARIANCE;

D O I：

10.1007/s10614-019-09892-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a two-step method for an omnibus misspecification test for constant parameters in the volatility equation of stochastic volatility models. The proposed test has a well-known null asymptotic distribution free of nuisance parameters. It is easy to implement and has low computational cost. Monte Carlo simulations support the relevance of the proposed method, evaluate the performance of the procedure, and highlight its small computational load. An empirical application shows the relevance of the procedure.

引用

页码：163 / 186

页数：24

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