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Multiplicative Error Models
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Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
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Multiplicative
Error
Models
Brownlees, Christian T.
;
Cipollini, Fabrizio
;
Gallo, …
-
Dipartimento di Statistica, Informatica, Applicazioni …
-
2011
. In this paper, we examine a class of models, named
Multiplicative
Error
Models
, which are particularly suited to model …
Persistent link: https://www.econbiz.de/10009643126
Saved in:
2
A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a...
Luca, Giovanni De
;
Gallo, Giampiero
-
Dipartimento di Statistica, Informatica, Applicazioni …
-
2010
Persistent link: https://www.econbiz.de/10008509948
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