We investigate the properties of the composite likelihood (CL) method for (T ×N_T ) GARCH panels. The defining feature of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across N_T series, other parameters of interest are assumed to be common. CL...

This paper studies in some detail a class of high frequency based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data. Our analysis identifies that the models have momentum and mean reversion...

In a recent paper we have introduced the class of realised kernel estimators of the increments of quadratic variation in the presence of noise. We showed that this estimator is consistent and derived its limit distribution under various assumptions on the kernel weights. In this paper we extend...

In this paper we introduce a decomposition of the joint distribution of price changes of assets recorded trade--by--trade. Our decomposition means that we can model the dynamics of price changes using quite simple and interpretable models which are easily extended in a great number of...

In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.

In this paper we obtain a closed form expression for the convergence rate of the Gibbs sampler applied to an AR(1) plus noise model in terms of the parameters of the model. We also provide evidence that a ``centered'' parameterisation of a state space model is preferable for the performance of...

Limit distribution results on realised power variation, that is sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory cover,...

In this paper we study the reliability of the mixed normal asymptotic distribution of realised volatility error, which we have previously derived using the theory of realised power variation. Our experiments suggests that the asymptotics is reliable when we work with the logarithmic transform of...

This paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting, even with rich dynamics. We call them rotated ARCH (RARCH) models. The basic structure is to rotate the returns and then to ?t them using a BEKK-type parameterization of the...