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Author

Simon Behrendt

Bio: Simon Behrendt is an academic researcher. The author has contributed to research in topics: Autoregressive model & Realized variance. The author has co-authored 1 publications.
Topics: Autoregressive model, Realized variance, Model selection
Papers
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Journal Article•DOI•
Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective

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Simon Behrendt
15 Jun 2021-Quantitative Finance
TL;DR: This work draws upon the fact that the HAR model is a constrained AR model and cast the problem of estimating structural breaks in the autoregressive volatility dynamics as a model selection problem, and finds the number of breaks to be heavily influenced by Box-Cox transformations applied to realized volatility series of eight stock market indices.
Abstract: Autoregressive (AR) models such as the heterogeneous autoregressive (HAR) model capture the linear footprint inherent in realized volatility. We draw upon the fact that the HAR model is a constrain...