Testing the Lag Structure of Assets’ Realized Volatility Dynamics

Testing the Lag Structure of Assets’ Realized Volatility Dynamics

A (conservative) test is applied to investigate the optimal lag structure for modelingrealized volatility dynamics. The testing procedure relies on the recent theoretical results that showthe ability of the adaptive least absolute shrinkage and selection operator (adaptive lasso) to combinee cient p...

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Bibliographic Details
Main Authors: Francesco Audrino, Lorenzo Camponovo, Constantin Roth
Format: Article
Language:English
Published: AIMS Press 2017-12-01
Series:Quantitative Finance and Economics
Subjects:
realized volatility
adaptive lasso
HAR model
test for false positives
lag structure
Online Access:http://www.aimspress.com/QFE/article/1751/fulltext.html

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