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 mixture of distributions for the innovation term with time-varying mixing weights forced by past behavior of volatility. The mixture considers innovations as a source of time-varying volatility of volatility and is able ...
| Year of publication: |
2010-04
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| Authors: | Luca, Giovanni De ; Gallo, Giampiero |
| Institutions: | Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze |
| Subject: | Multiplicative Error Models | Realized Volatility | Mixture Distributions |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | Italian |
| Notes: | 2 pages long |
| Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications |
| Source: |
Persistent link: https://www.econbiz.de/10008509948