Search Results - subject:"Multiplicative Error Model"

Weighted empirical likelihood estimator for vector multiplicative error model

Ding, Hao; Lam, Kai-pui - In: Journal of forecasting 32 (2013) 7, pp. 613-627

Persistent link: https://www.econbiz.de/10010202168

Intra-daily information of range-based volatility for MEM-GARCH

Lam, K.P.; Ng, H.S. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2625-2632

’s multiplicative-error model (MEM) formulation, range-based volatility is proposed as an intraday proxy for several GARCH frameworks …

Persistent link: https://www.econbiz.de/10010748948

Realising the future: forecasting with high frequency based volatility (HEAVY) models

Shephard, Neil; Sheppard, Kevin - Finance Research Centre, Oxford University - 2009

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...

Persistent link: https://www.econbiz.de/10005039607