Gallo, Giampiero M.; Otranto, Edoardo - Dipartimento di Statistica, Informatica, Applicazioni … - 2012
measures of volatility. Since the beginning of the 2000s, this pattern can be attributed to the dot com bubble, the quiet …. We conjecture that the inadequacy of many econometric volatility models (a very high level of estimated persistence … in a Multiplicative Error Model to represent the conditional expectation of the realized volatility, allowing us to …