In this paper we discuss some deep implications of the recent paper by Bollerslev et al. (2016) (BPQ). In BPQ the volatility dynamics modeled as a HAR is augmented by a term involving quarticity in order to correct measurement errors in realized variance. We show that the model is...

We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...

In December 2017, two leading derivative exchanges, CBOE and CME, introduced the firstregulated Bitcoin futures. Our aim is estimating their impact on Bitcoin volatility and tradingvolume. Employing a new causal approach, C-ARIMA, we find that the CME future triggered anincrease in both...