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Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility

Barigozzi, Matteo; Cuzzola, Angelo; Grazzi, Marco; … - 2021

This paper analyzes the sources of export volatility estimating a dynamic factor model on transaction-level data. Using an exhaustive dataset covering all French export transactions over the period 1993-2017, we reconstruct the latent factor space associated to global and destination-specific...

Persistent link: https://www.econbiz.de/10012584297

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65

Persistent link: https://www.econbiz.de/10001663892

Jumps and betas : a new framework for disentangling and estimating systematic risks

Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235

Persistent link: https://www.econbiz.de/10008663039

Disentangling systematic and idiosyncratic dynamics in panels of volatility measures

Barigozzi, Matteo; Brownlees, Christian; Gallo, Giampiero M. - In: Journal of econometrics 182 (2014) 2, pp. 364-384

Persistent link: https://www.econbiz.de/10010497747

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180

Persistent link: https://www.econbiz.de/10010506069

Stock return and cash flow predictability : the role of volatility risk

Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471

Persistent link: https://www.econbiz.de/10011499728

Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors

Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Journal of econometrics 221 (2021) 2, pp. 455-482

Persistent link: https://www.econbiz.de/10012619245

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343

Persistent link: https://www.econbiz.de/10012619427

Volatility analysis with realized GARCH-Itô models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410

Persistent link: https://www.econbiz.de/10012619433

Multivariate leverage effects and realized semicovariance GARCH models

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 217 (2020) 2, pp. 411-430

Persistent link: https://www.econbiz.de/10012482780