1 citations · 1 across the 2 of their papers we have counts for
4 papers · 1 filter
Testing for an Explosive Bubble using High-Frequency Volatility
H. Peter Boswijk, Jun Yu, Yang Zu
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sa…
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation
H. Peter Boswijk, Roger J. A. Laeven, Evgenii Vladimirov
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison betwee…
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis +1
Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) s…
Bootstrapping Non-Stationary Stochastic Volatility
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek +1
In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many…