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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...
Persistent link: https://www.econbiz.de/10011755372
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...
Persistent link: https://www.econbiz.de/10011654447
Realized volatility of financial time series generally shows a slow–moving average level from the early 2000s to recent times, with alternating periods of turmoil and quiet. Modeling such a pattern has been variously tackled in the literature with solutions spanning from long–memory, Markov...
Persistent link: https://www.econbiz.de/10010862522
Empirical evidence shows that the dynamics of high frequency–based measures of volatility exhibit persistence and occasional abrupt changes in the average level. By looking at volatility measures for major indices, we notice similar patterns (including jumps at about the same time), with...
Persistent link: https://www.econbiz.de/10010862527
Persistent link: https://www.econbiz.de/10014321842
Persistent link: https://www.econbiz.de/10014261237
Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases, the quality of forecasts should improve. Yet, there is no consensus about a "true" or "best" measure of volatility. In this paper we propose to jointly consider absolute daily...
Persistent link: https://www.econbiz.de/10005812865
Persistence and occasional abrupt changes in the average level characterize the dynamics of high frequency based measures of volatility. Since the beginning of the 2000s, this pattern can be attributed to the dot com bubble, the quiet period of expansion of credit between 2003 and 2006 and then...
Persistent link: https://www.econbiz.de/10010743415